The covered bond market
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.
Volume (Year): (2007)
Issue (Month): (September)
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- Richard Cantor & Frank Packer & Kevin Cole, 1997. "Split ratings and the pricing of credit risk," Research Paper 9711, Federal Reserve Bank of New York.
- 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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