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Risk Driving Factors for Covered Bond Issuers in Sweden

Jönsson, Emil LU and Malmberg, Carolina LU (2012) FMS820 20121
Mathematical 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:
author
Jönsson, Emil LU and Malmberg, Carolina LU
supervisor
organization
course
FMS820 20121
year
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}},
}