Credit Risk in Covered Bonds


Siewert, Jan B. ; Prokopczuk, Marcel ; Vonhoff, Volker



DOI: https://doi.org/10.1016/j.jempfin.2012.12.003
URL: http://www.sciencedirect.com/science/article/pii/S...
Document Type: Article
Year of publication: 2013
The title of a journal, publication series: Journal of Empirical Finance
Volume: 21
Issue number: 3
Page range: 102-120
Place of publication: Amsterdam [u.a.]
Publishing house: Elsevier
ISSN: 0927-5398
Publication language: English
Institution: Business School > ABWL u. Corporate Finance (Maug)
Subject: 330 Economics
Abstract: Covered bonds are a promising alternative for prime mortgage securitization. In this paper, we explore risk premia in the covered bond market and particularly investigate whether and how credit risk is priced. In extant literature, yield spreads between high-quality covered bonds and government bonds are often interpreted as pure liquidity premia. In contrast, we show that although liquidity is important, it is not the exclusive risk factor. Using a hand-collected data set of cover pool information, we find that the credit quality of the cover assets is an important determinant of covered bond yield spreads. This effect is particularly strong in times of financial turmoil and has a significant influence on the issuer's refinancing cost.

Dieser Eintrag ist Teil der Universitätsbibliographie.




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