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~isPartOf:"ECB Working Paper"
~isPartOf:"Working papers / Federal Reserve Bank of Philadelphia, Research Department"
~person:"Grothe, Magdalena"
~subject:"Credit risk"
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Credit risk
Kreditrisiko
3
credit ratings
2
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1
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Capital income
1
Covered bond
1
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1
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corporate bond spreads
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corporate spreads
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covered bond transparency data
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covered bonds
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earnings-based borrowing constraint
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global risk shocks
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heterogeneous firms
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inflation expectations
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inflation markets
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Grothe, Magdalena
Camba-Mendez, Gonzalo
3
Serwa, Dobromil
3
Berg, Tobias
2
Kostrzewa, Konrad
2
Nakamura, Leonard Isamu
2
Alexopoulou, Ioana
1
Allen, Franklin
1
Andersson, Magnus
1
Calem, Paul Seth
1
De Santis, Roberto A.
1
Ejsing, Jacob
1
Fender, Ingo
1
Georgescu, Oana Maria
1
Goldstein, Itay
1
Greenfield, Patrick
1
Grothe, Oliver
1
Hall, Arden
1
Jagtiani, Julapa
1
Kenney, Jeanna H.
1
Krylova, Elizaveta
1
Lambie-Hanson, Lauren
1
Lang, William W.
1
Manganelli, Simone
1
Marszal (Mospan), Anna
1
Marszal, Anna
1
Mueller, Isabella
1
Roszbach, Kasper
1
Scheicher, Martin
1
Sfrappini, Eleonora
1
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob
-
2012
This paper quantifies liquidity and credit premia in German and French government bond yields. For this purpose, we estimate term structures of government-guaranteed agency bonds and exploit the fact that any difference in their yields vis-`a-vis government bonds can be attributed to differences...
Persistent link: https://www.econbiz.de/10013106056
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2
Risk Characteristics of Covered Bonds : Monitoring Beyond Ratings
Grothe, Magdalena
-
2020
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...
Persistent link: https://www.econbiz.de/10012836662
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3
Market
Pricing
of Credit Rating Signals
Grothe, Magdalena
-
2014
This paper contributes new evidence on market
pricing
of rating changes. We examine the relation between spreads and … favourable market conditions rating actions are not crucial for market
pricing
, they become very significant in the periods of …
Persistent link: https://www.econbiz.de/10013061797
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