Risk Premium in Norwegian Covered Bonds
Abstract
In this thesis we study the determinants of risk premium in Norwegian covered bonds. Due to
di erences in data quality and bond characteristics we study the market for EUR and NOK
denominated bonds issued by Norwegian credit institutions in separate. In line with theory we
nd that most of the risk premium in the EUR sample is due to liquidity. As for the relationship
between the two samples we see that their strong co-movement is explained by variation in the
cross-currency basis swap. We conclude that the Norwegian market for covered bonds is sound
and prices bonds in a correct manner.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018