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 …

Public covered bonds are one of the most important refinancing instruments for banks
providing loans to public sector entities and have often been considered almost default-risk …

The past decade was one studded with radical economic and financial developments and
changes in the banking landscape, monetary policy, and the economic state in the …

The 2008 Global financial crisis and the subsequent European sovereign debt crisis
deteriorated banks funding conditions and lead to a substitution effect among bond …

Liquidity risk is the risk that an asset cannot always be sold without causing a fall in its price
because of a lack of demand for this asset. Many empirical studies examining liquidity …

How does asset encumbrance affect the fragility of intermediaries subject to rollover risk?
We offer a model in which a bank issues covered bonds backed by a pool of assets that is …

This paper studies empirically how collateral protects the market value of defaultable bonds
from changes in risk. We construct a measure of the risk protection from collateral, and …

This article is a survey of the covered bond market with a focus on recent developments in
the US Covered bonds are debt obligations secured by a pool of assets, usually consisting …

This is the first study comparing the financial characteristics and pricing processes of asset
securitization (AS) and covered bonds (CB). Using a sample of 6,191 AS bonds and 1 1,471 …

This study compares credit spreads and pricing determinants of securitization vis‐à‐vis
covered bonds. Our analysis reveals that although ratings are the most important pricing …