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The asset- and mortgage-backed securities market in Europe

How do European asset- and mortgage-backed securities fare today five years after the 2008 crisis they have been incriminated in? We make an assessment of the asset class in today’s renormalized market conditions.
We explore its return-to-risk profile in a standard mean-variance framework, taking the view of a long-term Euro Area bond investor. We make evident that the securities significantly reduce investment risk and in the same time improve the outlook for return, when combined with other European bonds.

Amundi Working Paper - March 2015

de JONG Marielle , Head of Fixed Income Quantitative Research at Amundi
NGUYEN Vinh Cam Anh , Fixed-Income Quantitative Research – Amundi
VANNIER Hubert , Senior Portfolio Manager – Amundi

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The asset- and mortgage-backed securities market in Europe
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