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Risk Characteristics of Covered Bonds : Monitoring Beyond Ratings

Grothe, Magdalena - 2020

cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures …

Persistent link: https://www.econbiz.de/10012836662

Assessing the Compensation for Volatility Risk Implicit in Interest Rate Derivatives

Fornari, Fabio - 2021

Volatilities implied from interest rate swaptions are used to assess the size and the sign of the compensation for volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of the volatility risk premium rests on a simple model...

Persistent link: https://www.econbiz.de/10013316627

Assessing the compensation for volatility risk implicit in interest rate derivatives

Fornari, Fabio - 2008

Persistent link: https://www.econbiz.de/10011604905

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10011604956

Pricing of Bonds and Equity when the Zero Lower Bound is Relevant

Kick, Heinrich - 2017

This paper investigates the joint dynamics of nominal bond yields, real bond yields and dividend yields from the 80s up …

Persistent link: https://www.econbiz.de/10012963939

Determinants of Sub-Sovereign Bond Yield Spreads : The Role of Fiscal Fundamentals and Federal Bailout Expectations

Beck, Roland - 2017

This paper investigates to what extent yield spreads on bonds issued by sub-sovereign entities within federations are driven by bailout expectations and investors' risk appetite, as opposed to fundamental values related to default risk. The question is analysed both across and within federations...

Persistent link: https://www.econbiz.de/10012963946

Flow Effects of Central Bank Asset Purchases on Euro Area Sovereign Bond Yields : Evidence from a Natural Experiment

De Santis, Roberto A. - 2017

We estimate the response of euro area sovereign bond yields to purchase operations under the ECB's Public Sector …, led to a temporary 7 basis-point decline in sovereign bond yields on the day of purchase. This impact estimate is well …

Persistent link: https://www.econbiz.de/10012956267

Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area

Krylova, Elizaveta - 2016

the euro area and in five major European economies. It also introduces a set of indicators for excess bond premia …, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … majority of macroeconomic indicators can be better predicted by the excess bond premia compared to non-adjusted indices; the …

Persistent link: https://www.econbiz.de/10012988612

Foreign-Law Bonds : Can They Reduce Sovereign Borrowing Costs?

Chamon, Marcos - 2018

-à-vis domestic bonds. This paper studies the effect of this jurisdiction choice on bond prices. We test whether foreign-law bonds …

Persistent link: https://www.econbiz.de/10012916363

Can EU Bonds Serve as Euro-Denominated Safe Assets?

Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022

A safe asset is of high credit quality, retains its value in bad times, and is traded in liquid markets. We show that bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over German Bunds remained contained during the 2020...

Persistent link: https://www.econbiz.de/10013492670