This study investigates the determinants of spread on structured finance issues backed by project finance (PF) loans. We find that credit rating is the most important variable in determining tranche spread at issue. We also document how factors that are important for pricing in the case of...

We find that credit rating is the most important variable in determining tranche spread at issue on Collateralized Debt Obligations (CDOs) issues backed by project finance (PF) loans. Factors that are important for pricing in the case of corporate bonds, such as market liquidity and weighted...

The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the calculation of such measure in the context of...

Theories suggest that asset encumbrance, the ring-fencing of certain assets for protected debtholders, can affect banks’ risk taking and lead to funding instability. We test these hypotheses using a unique, hand-collected dataset on outstanding covered bonds issued by a sample of listed...