| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 958441 | Journal of Empirical Finance | 2013 | 19 Pages |
Abstract
⺠We explore risk premia in the covered bond market ⺠We study the impact of credit risk using a unique data set of cover pool information ⺠We find that not only liquidity risk, but also credit risk has significant price impact ⺠This result is especially strong after the collapse of Lehman Brothers ⺠The credit risk in public covered bonds increased substantially during the European sovereign crisis.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Marcel Prokopczuk, Jan B. Siewert, Volker Vonhoff,