By using an existing and a new convergence measure, this paper assesses whether bank loan and bond interest rates are … converging for the non-financial corporate sector across the euro area. Whilst we find evidence for complete bond market …

This work describes the legal structuring of a mortgage covered bond in accordance with the regulations of paragraphs … rights of the bond holders according to the regulations of the German Statue Governing Common Rights of Owners of Debt … Securities (Schuldverschreibungsgesetz). Furthermore, the work describes how the bond creditors shall have preferences of the …

. Nonetheless, the average CDS-bond basis (i.e. the difference between both measures) is positive in the period 2004-2005. We detect …

The naming of eleven banks as “too big to fail (TBTF)” in 1984 led bond raters to raise their ratings on new bond … issues of TBTF banks about a notch relative to those of other, unnamed banks. The relationship between bond spreads and …

"virtual" borrower or bond for which a single-factor model holds. Then, the correlation parameter is calculated via a non …-linear optimization. This "bond representation" allows to approximate the risk profile (expressed by the EL profile) using a single … for the corresponding bond representations is applied for valuation of the CDO tranches. Using a sample CDO portfolio …

their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show …