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The Journal of Fixed Income

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Risk Premia in Covered Bond Markets

Marcel Prokopczuk and Volker Vonhoff
The Journal of Fixed Income Fall 2012, 22 (2) 19-29; DOI: https://doi.org/10.3905/jfi.2012.22.2.019
Marcel Prokopczuk
is a professor of finance at Zeppelin University in Friedrichshafen, Germany.
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  • For correspondence: marcel.prokopczuk@zu.de
Volker Vonhoff
is a research fellow at the University of Mannheim in Mannheim, Germany, and is a consultant at The Boston Consulting Group in Stuttgart, Germany.
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  • For correspondence: vonhoff@uni-mannheim.de
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Abstract

The authors empirically explore risk premia in mortgage covered bond markets. Using a large panel dataset of covered bond asset swap spreads, they study the impact of different legal and economic environments. Conducting an in-depth analysis of this market, the authors find significant but small differences between countries during normal market periods. However, these differences are much stronger during times of economic crisis. Moreover, they find that developments in the real estate market are of relatively little importance during stable market periods. During economic distress, however, they are of high importance for explaining risk premia in covered bond markets.

TOPICS: Real estate, analysis of individual factors/risk premia, fixed-income portfolio management, legal and regulatory issues for structured finance

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The Journal of Fixed Income: 22 (2)
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Fall 2012
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Risk Premia in Covered Bond Markets
Marcel Prokopczuk, Volker Vonhoff
The Journal of Fixed Income Sep 2012, 22 (2) 19-29; DOI: 10.3905/jfi.2012.22.2.019

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Risk Premia in Covered Bond Markets
Marcel Prokopczuk, Volker Vonhoff
The Journal of Fixed Income Sep 2012, 22 (2) 19-29; DOI: 10.3905/jfi.2012.22.2.019
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  • Article
    • Abstract
    • LITERATURE
    • THE EUROPEAN COVERED BOND MARKET
    • COVERED BOND SPREADS
    • SUMMARY AND CONCLUSIONS
    • APPENDIX
    • ENDNOTES
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