Covered bonds are a promising alternative for prime mortgage securitization. In this paper,
we explore risk premia in the covered bond market and particularly investigate whether and …

This paper investigates the impact of stress testing results on banks’ equity and CDS performance
using a large sample of 12 tests from the US CCAR and the European EBA regimes in …

This paper investigates the impact of stress testing results on bank's equity and CDS performance
using a large sample of ten tests from the US CCAR and the European EBA regimes …

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 …

Yield spreads between German covered bonds (Pfandbriefe) and German government bonds
usually have been interpreted as pure liquidity premia. In contrast, our analysis reveals …

The issuing policy of the US Treasury allows us to unambiguously isolate maturity-dependent
liquidity premia in the Treasury market. We determine and analyze three term structures of …

We investigate the determinants and performance implications of cash holdings for a large
sample of actively-managed equity funds domiciled in the European Union (EU). In line with …

The main goal of this thesis is to rationalize why dispersion trading is a worth-while strategy.
Therefore, definitions of volatility and correlation are presented and their modeling and …

Purpose – Coupon and principal Separate Trading of Registered Interest and Principal
Securities (STRIPS) maturing at the same date often trade at different yields. The paper aims to …

The term structure of liquidity premia in the US treasury market - MADOC Website der UB |
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