Modelling German covered bonds:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
Wiesbaden
Springer Spektrum
[2018]
|
| Series: | Mathematische Optimierung und Wirtschaftsmathematik
Research |
| Subjects: | |
| Online Access: | Inhaltstext Inhaltsverzeichnis |
| Physical Description: | XIV, 266 Seiten Illustrationen, Diagramme 21 cm x 14.8 cm |
| ISBN: | 9783658239145 365823914X |
Staff View
MARC
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| 653 | |a Bank default | ||
| 653 | |a Cover pool default | ||
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| 653 | |a German covered bonds | ||
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| 653 | |a Pfandbrief model | ||
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Record in the Search Index
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| adam_text | Contents
1 Introduction...................................................... 1
2 Pfandbrief Characteristics........... ........................ 5
2.1 Main Product Features......................................... 5
2.2 Risks from an Investor’s Perspective........................12
2.3 Implications for Modelling....................................IT
3 Credit Risk Models: A Literature Review......................... 19
3.1 Approaches to Credit Risk Modelling...........................20
3.2 Introduction to Structural Credit Risk Models.......21
3.2.1 The Merton Model........................................21
3.2.2 Extensions of the Merton Model........................23
3.2.3 Specification of the Default Barrier..................26
3.2.4 The Role of Liquidity...................................28
3.2.5 Empirical Findings on Model Performance ................29
3.3 Bank Default Modelling........................................30
3.3.1 Funding and Liquidity Management........................31
3.3.2 Structural Credit Risk Models for Bank Default........35
3.4 Summary and Conclusion........................................53
4 The Pfandbrief Model............................................. 57
4.1 Distinction of Nine Pfandbrief Scenarios......................59
4.2 The Bank’s Balance Sheet......................................63
4.3 Market Environment............................................69
4.3.1 Risk-Free Interest Rates................................69
4.3.2 Asset Creditworthiness..................................78
4.3.3 Performance of the Bank’s Risky Assets.................89
4.4 Funding and Liquidity.........................................93
4.4.1 Matching Cover Calculations ............................93
4.4.2 Bank Funding............................................96
4.4.3 Cover Pool Funding.....................................102
VIII
Contents
4.5 Specification of Default Events and Liquidation Payments . . . 105
4.5.1 Bank Default...........................................106
4.5.2 Cover Pool Default.....................................110
4.5.3 Liquidation Payments...................................115
4.6 Asset Liability Management...................................130
4.6.1 Funding Strategies.....................................130
4.6.2 Reinvestment Strategies................................132
4.6.3 Maintenance of Overcollateralization...................136
4.6.4 Liability Payments.....................................140
4.6.5 Balance Sheet Update...................................142
4.7 Default Parameters...........................................143
5 Model Calibration and Scenario Generation........................ 149
5.1 An Exemplary Balance Sheet Profile...........................149
5.1.1 Nominals and Maturities ...............................150
5.1.2 Asset Default Parameters and Present Values...........157
5.1.3 Further Model Parameters...............................162
5.2 Calibration of the Market Environment ......................164
5.2.1 Risk-Free Interest Rates...............................164
5.2.2 Asset Creditworthiness.................................176
5.3 Scenario Generation .........................................178
6 Simulation Results.............................................. 181
6.1 Default Statistics....................................... 181
6.2 Analysis of Loss Drivers.....................................186
6.3 Bank and Cover Pool Solvency.................................192
6.4 Funding and Liquidity........................................198
6.5 Scenario Quality and Stability of Results ..................203
6.6 Sensitivity Analyses....................................... 207
6.7 Summary of Simulation Results................................217
7 Conclusion and Outlook........................................... 223
Bibliography..................................................... 229
Supplementary Tables and Figures ................................ 243
|
| any_adam_object | 1 |
| author | Spangler, Manuela |
| author_GND | (DE-588)1046630784 |
| author_facet | Spangler, Manuela |
| author_role | aut |
| author_sort | Spangler, Manuela |
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| building | Verbundindex |
| bvnumber | BV045264052 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)1077645882 (DE-599)DNB1166879135 |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| id | DE-604.BV045264052 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T08:13:15Z |
| institution | BVB |
| institution_GND | (DE-588)1043386068 |
| isbn | 9783658239145 365823914X |
| language | English |
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| physical | XIV, 266 Seiten Illustrationen, Diagramme 21 cm x 14.8 cm |
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| publisher | Springer Spektrum |
| record_format | marc |
| series2 | Mathematische Optimierung und Wirtschaftsmathematik Research |
| spelling | Spangler, Manuela Verfasser (DE-588)1046630784 aut Modelling German covered bonds Manuela Spangler Wiesbaden Springer Spektrum [2018] XIV, 266 Seiten Illustrationen, Diagramme 21 cm x 14.8 cm txt rdacontent n rdamedia nc rdacarrier Mathematische Optimierung und Wirtschaftsmathematik Research Dissertation Universität Augsburg 2018 Pfandbrief (DE-588)4126512-9 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf KF Bank default Cover pool default Credit risk model Default risk model German covered bonds Multi-period simulation model Overindebtedness and illiquidity Pfandbrief model Quantitative risk analysis KJM (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Kreditrisiko (DE-588)4114309-7 s Pfandbrief (DE-588)4126512-9 s DE-604 Mathematisches Modell (DE-588)4114528-8 s Springer Fachmedien Wiesbaden (DE-588)1043386068 pbl Erscheint auch als Online-Ausgabe 978-3-658-23915-2 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=aa4242654a8a416f86b213026cb23f21&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030651939&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Spangler, Manuela Modelling German covered bonds Pfandbrief (DE-588)4126512-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4126512-9 (DE-588)4114528-8 (DE-588)4114309-7 (DE-588)4011882-4 (DE-588)4113937-9 |
| title | Modelling German covered bonds |
| title_auth | Modelling German covered bonds |
| title_exact_search | Modelling German covered bonds |
| title_full | Modelling German covered bonds Manuela Spangler |
| title_fullStr | Modelling German covered bonds Manuela Spangler |
| title_full_unstemmed | Modelling German covered bonds Manuela Spangler |
| title_short | Modelling German covered bonds |
| title_sort | modelling german covered bonds |
| topic | Pfandbrief (DE-588)4126512-9 gnd Mathematisches Modell (DE-588)4114528-8 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Pfandbrief Mathematisches Modell Kreditrisiko Deutschland Hochschulschrift |
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