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The covered bond market

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Author Info

  • Frank Packer
  • Ryan Stever
  • Christian Upper

Abstract

The covered bond market offers investors an alternative to developed country government securities. The valuation of covered bonds is complex. While there is some evidence of differences in the pricing of these bonds by nationality of issuer, these appear to be only weakly related to differences in the respective legislative frameworks. Recent cases show the pricing of covered bonds to be robust to idiosyncratic shocks to issuer credit risk as well as more systemic shocks to the value of cover pools.

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File URL: http://www.bis.org/publ/qtrpdf/r_qt0709f.pdf
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File URL: http://www.bis.org/publ/qtrpdf/r_qt0709f.htm
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Bibliographic Info

Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2007)
Issue (Month): (September)
Pages:

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Handle: RePEc:bis:bisqtr:0709f

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References

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  1. Richard Cantor & Frank Packer & Kevin Cole, 1997. "Split ratings and the pricing of credit risk," Research Paper 9711, Federal Reserve Bank of New York.
  2. Donald P. Morgan, 2002. "Rating Banks: Risk and Uncertainty in an Opaque Industry," American Economic Review, American Economic Association, vol. 92(4), pages 874-888, September.
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Cited by:
  1. Olszewski, Krzysztof, 2012. "The impact of commercial real estate on the financial sector, its tracking by central banks and some recommendations for the macro-financial stability policy of central banks," MPRA Paper 41059, University Library of Munich, Germany.
  2. Santiago Carbó-Valverde & Francisco Rodríguez Fernández & Richard J. Rosen, 2011. "Are covered bonds a substitute for mortgage-backed securities?," Working Paper Series WP-2011-14, Federal Reserve Bank of Chicago.
  3. Lejot , Paul & Arner, Douglas & Schou-Zibell, Lotte, 2008. "Securitization in East Asia," Working Papers on Regional Economic Integration 12, Asian Development Bank.
  4. Frank Packer & Nikola Tarashev, 2011. "Rating methodologies for banks," BIS Quarterly Review, Bank for International Settlements, June.
  5. Kirsten Wandschneider, 2013. "Lending to Lemons: Landschafts-Credit in 18th Century Prussia," NBER Working Papers 19159, National Bureau of Economic Research, Inc.
  6. Larsson, Carl F., 2013. "What did Frederick the great know about financial engineering? A survey of recent covered bond market developments and research," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 22-39.

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