Risk assessment of mortgage covered bonds: International evidence

Marc Gürtler and Philipp Neelmeier

Finance Research Letters, 2019, vol. 28, issue C, 292-298

Abstract: We investigate factors influencing risk premiums of mortgage covered bonds issued in 22 countries and 10 currencies. We show that previously published results for euro-denominated mortgage covered bonds issued in France, Germany, Spain, and the UK can be verified for our much broader transnational dataset. Furthermore, we transfer results on factors influencing risk premiums of public covered bonds to the international mortgage-covered-bond market. Finally, we show that despite having similar factors influencing risk premiums, there are differences in the effects of variables describing the quality of the cover assets between public and mortgage covered bonds.

Keywords: Mortgage covered bonds; Risk premiums; Pfandbrief (search for similar items in EconPapers)
JEL-codes: G12 G15 G21 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:28:y:2019:i:c:p:292-298

DOI: 10.1016/j.frl.2018.05.004

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