Risk Assessment of Covered Bonds in the International Secondary Market (English shop)

An Empirical Analysis

Preview

Extract, PDF (640 KB)
Table of Contents, PDF (510 KB)

The dissertation “Risk Assessment of Covered Bonds in the International Secondary Market – An Empirical Analysis” examines the risk assessment of covered bonds in the international secondary market. Covered bonds are interest-bearing securities issued by financial institutions and secured by assets that are combined in a so-called cover pool. In the vast majority of cases, these assets are either mortgage loans or loans to public entities, such as states or other regional and local authorities. Covered bonds secured by these types of assets are accordingly referred to as mortgage covered bonds and public sector covered bonds, respectively. Whereas in the past covered bonds were frequently regarded as generally almost free of default risk, this view has changed as a result of the financial crisis and the subsequent sovereign debt crisis. Against this background, this study uses empirical analyses to investigate, for both public sector and mortgage covered bonds, which factors influence the level of risk premiums, and it identifies the related differences between the two types of covered bonds.