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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. 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.
  2. Krzysztof Olszewski, 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," National Bank of Poland Working Papers 132, National Bank of Poland, Economic Institute.
  3. Kirsten Wandschneider, 2013. "Lending to Lemons: Landschafts-Credit in 18th Century Prussia," NBER Chapters, in: Housing and Mortgage Markets in Historical Perspective National Bureau of Economic Research, Inc.
  4. Frank Packer & Nikola Tarashev, 2011. "Rating methodologies for banks," BIS Quarterly Review, Bank for International Settlements, June.

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