Risk Driving Factors for Covered Bond Issuers in Sweden
(2012) FMS820 20121Mathematical Statistics
- Abstract (Swedish)
- This thesis investigates the possibility of modelling the covered bond risk, quantied
by the yield spread over government bond, by using a multi factor model with explanatory
factors. The thesis focuses on covered bond issued in Sweden, in Swedish krona, by
Swedish issuers. The most signicant result is that there is a relationship between issuer
risk, quantied by the CDS spread, and the covered bond risk. However the CDS only
explain a relatively small amount of the risk in the covered bonds. The second nding
concludes that there is an overall market movement that explains a large amount of the
risk in the covered bonds. Although this market movement cannot be captured by a
factor found in available data. In the thesis both key... (More) - This thesis investigates the possibility of modelling the covered bond risk, quantied
by the yield spread over government bond, by using a multi factor model with explanatory
factors. The thesis focuses on covered bond issued in Sweden, in Swedish krona, by
Swedish issuers. The most signicant result is that there is a relationship between issuer
risk, quantied by the CDS spread, and the covered bond risk. However the CDS only
explain a relatively small amount of the risk in the covered bonds. The second nding
concludes that there is an overall market movement that explains a large amount of the
risk in the covered bonds. Although this market movement cannot be captured by a
factor found in available data. In the thesis both key information about covered bonds
and cover pools as well as an analysis of the spread are included. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/2831640
- author
- Jönsson, Emil LU and Malmberg, Carolina LU
- supervisor
- organization
- course
- FMS820 20121
- year
- 2012
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 2831640
- date added to LUP
- 2012-06-21 13:44:55
- date last changed
- 2012-06-21 13:44:55
@misc{2831640, abstract = {{This thesis investigates the possibility of modelling the covered bond risk, quantied by the yield spread over government bond, by using a multi factor model with explanatory factors. The thesis focuses on covered bond issued in Sweden, in Swedish krona, by Swedish issuers. The most signicant result is that there is a relationship between issuer risk, quantied by the CDS spread, and the covered bond risk. However the CDS only explain a relatively small amount of the risk in the covered bonds. The second nding concludes that there is an overall market movement that explains a large amount of the risk in the covered bonds. Although this market movement cannot be captured by a factor found in available data. In the thesis both key information about covered bonds and cover pools as well as an analysis of the spread are included.}}, author = {{Jönsson, Emil and Malmberg, Carolina}}, language = {{eng}}, note = {{Student Paper}}, title = {{Risk Driving Factors for Covered Bond Issuers in Sweden}}, year = {{2012}}, }