covered bonds are secured and backed by collateral. Our results show that collateral reduces the total risk in individual … significantly lower level of systematic risk. However, the fraction of systematic risk to total risk is higher for covered bonds. By … decomposing the variance of bond returns, we find that around 33% of the risk in senior bonds is systematic, versus 53% in covered …

We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non …-)binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based … on these risk factors by utilizing the heterotic risk model construction of https://ssrn.com/abstract=2600798 (for binary …

. Such returns will distort risk measurement and hence can lead to investment decisions that are suboptimal relative to those …