Risk characteristics of covered bonds: monitoring beyond ratings

Magdalena Grothe and Jana Zeyer

No 2393, Working Paper Series from European Central Bank

Abstract: This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified risk metrics for the European covered bond universe, which ensures comparability across covered bonds issued by different issuers and rated by different credit rating agencies. The availability of granular risk indicators adds to the overall transparency of the market in the context of risk monitoring. JEL Classification: G12, G24, G21, C30

Keywords: covered bonds; covered bond transparency data; credit ratings; risk indicators; risk monitoring (search for similar items in EconPapers)
Date: 2020-04
New Economics Papers: this item is included in nep-fmk and nep-rmg
Note: 1601201
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20202393

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