tailieunhanh - Review of the UK’s regulatory framework for covered bonds

Given the extensive literature on risk premia in equity markets, relatively little is known about expected returns and risk premia in the corporate bond market. Recent empirical evidence by Elton et al. (2001) suggests that corporate bonds earn an expected excess return over default-free government bonds, even after correcting for the likelihood of default and tax differences. As shown by Elton et al. (2001), part of this expected excess return is due to the fact that changes in credit spreads (if no default occurs) are systematic, implying that the risk of these changes should be priced. The current empirical literature has, however, neglected the possibility that. | Jvh HM TREASURY â FS . Review of the UK s regulatory framework for covered bonds April 2011 HM TREASURY FSA Review of the UK s regulatory framework for covered bonds April .

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