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Collateral affects return risk : evidence from the euro bond market
Helberg, Stig; Lindset, Snorre - In: Financial markets and portfolio management 34 (2020) 1, pp. 99-128
Persistent link: https://www.econbiz.de/10012225036
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Risk premia in covered bond markets
Prokopczuk, Marcel; Vonhoff, Volker - In: The journal of fixed income 22 (2012) 2, pp. 19-29
Persistent link: https://www.econbiz.de/10009670722
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Risk premia in covered bond markets
Prokopczuk, Marcel; Vonhoff, Volker - 2012
Persistent link: https://www.econbiz.de/10009520556
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Trends in the covered bond market
Janssens, Dries - In: Revue bancaire et financière 75 (2011) 1/2, pp. 74-83
Persistent link: https://www.econbiz.de/10008939145
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Risk Premia in Covered Bond Markets
Prokopczuk, Marcel - 2013
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 …
Persistent link: https://www.econbiz.de/10013091794
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The Covered Bond Market
Packer, Frank - 2013
pricing of covered bonds to be robust to idiosyncratic shocks to issuer credit risk as well as more systemic shocks to the …
Persistent link: https://www.econbiz.de/10013095068
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Seasonal liquidity effects and their determinants on the covered bond market
Weigerding, Michael - In: The quarterly review of economics and finance : journal … 78 (2020), pp. 288-303
Persistent link: https://www.econbiz.de/10012431295
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Credit risk-free sovereign bonds under Solvency II : a cointegration analysis with consistently estimated structural breaks
Ludwig, Alexander - In: Applied financial economics 24 (2014) 10/12, pp. 811-823
Persistent link: https://www.econbiz.de/10010402551
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Joint Extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - In: Journal of banking & finance 115 (2020), pp. 1-31
Persistent link: https://www.econbiz.de/10012489163
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or … extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …
Persistent link: https://www.econbiz.de/10012175486