Chris Kenyon's Covered Bond Pricing Paper Accepted for C.R.E.D.I.T.

Chris KenyonWhen Chris Kenyon's paper, "Pricing Covered Bonds (version 1.09)" hit the Internet in June, it spent quite a while on Google's Page One of search results under "covered bonds."

Now the paper has been accepted by the organizers of this year's C.R.E.D.I.T. Conference on "Credit Risk, Financial Crises, and the Macroeconomy," to be held in Venice on September 24 and 25.  It will be part of the poster sessions as well as the published proceedings.

"I came to write the paper from an interest in understanding how covered bonds benefited from their connections to the issuing institution," Kenyon told Covered Bond Investor™.  "Pricing required integration of issuer liquidity, issuer default risk, and the bankruptcy-protected over-collateralized pool of assets underlying the covered bonds. 

"Understanding the value of the protection required going into the details of these mechanisms and required technical departures from standard pricing algorithms, and it is the first detailed pricing approach available in the literature."

Although Mr. Kenyon is an Associate Director at Depfa, he notes that the paper represents his personal opinion only.

The C.R.E.D.I.T. Conference is cosponsored by GRETA Associati (Venice), Intesa Sanpaolo (Milan), Lince (Milan), Finanziaria Internazionale (Conegliano), Financial Innovations (Milan) and Banca d'Italia (Venice).  A web page on the conference describes the event as follows:

"The objective of the Conference is to bring together academics, practitioners and PhD students working in the area of credit risk modeling to discuss credit risk at time of financial crisis and the impact of macroeconomic factors on pricing risky debt, financial distress, recovery rates, and banking stability. The Conference will provide an opportunity for participants engaged in research at the forefront of this area to discuss both the causes and implications of recent events in financial markets and may, in turn, suggest fruitful directions for future research. The Conference, organised under the auspices of the Department of Economics of the Ca'Foscari University Venice and ABI-Italian Banking Association, is the eighth of a series dedicated to various aspects of credit risk."