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In this paper, we empirically explore risk premia in mortgage covered bond markets. Using a large panel data set of … of high importance for explaining risk premia in covered bond markets …
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and risk drive long-term liquidity, but the new ones are likewise important. Supply and seasonality are crucial …
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pricing of covered bonds to be robust to idiosyncratic shocks to issuer credit risk as well as more systemic shocks to the …
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