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Modelling German Covered Bonds
Manuela Spangler deals with the default risk modelling of German covered bonds (Pfandbriefe). Existing credit risk models are not suitable for this purpose as they only consider the creditworthiness of the issuer while product-specific features are not taken into account. The author develops a multi-period simulation-based Pfandbrief model which adequately accounts for the product’s most important characteristics and risks. The model provides a flexible framework for structural analyses and can be easily extended for tailor-made investigations. While the focus of the work is on the specification of the model itself, simulation results from an exemplary model calibration are also discussed. About the Author Manuela Spangler works as a quantitative risk analyst for a large asset management company and holds a PhD in mathematics from the University of Augsburg. Prior to her current position, she worked as a risk manager and financial engineer in the banking and insurance sector for various years.
Operations Research Proceedings 2011
This book contains a selection of refereed papers presented at the “International Conference on Operations Research (OR 2011)” which took place at the University of Zurich from August 30 to September 2, 2011. The conference was jointly organized by the German speaking OR societies from Austria (ÖGOR), Germany (GOR) and Switzerland (SVOR) under the patronage of SVOR. More than 840 scientists and students from over 50 countries attended OR 2011 and presented 620 papers in 16 parallel topical streams, as well as special award sessions. The conference was designed according to the understanding of Operations Research as an interdisciplinary science focusing on modeling complex socio-technical systems to gain insight into behavior under interventions by decision makers. Dealing with “organized complexity” lies in the core of OR and designing useful support systems to master the challenge of system management in complex environment is the ultimate goal of our professional societies. To this end, algorithmic techniques and system modeling are two fundamental competences which are also well-balanced in these proceedings.
German Covered Bonds
The Pfandbrief, a mostly triple-A rated German bank debenture, has become the blueprint of many covered bond models in Europe and beyond. The Pfandbrief is collateralized by long-term assets such as property mortgages or public sector loans as stipulated in the Pfandbrief Act. With a history that goes back to the 18th century and a high market share in today’s covered bond markets, the German Pfandbrief is the most established covered bond. Until today, no single Pfandbrief has ever defaulted. Even though Pfandbriefe have survived the financial crisis comparably unharmed, investors have become more sensitive regarding the creditworthiness of the corresponding issuer and sovereign, the stre...
Germany
This paper focuses on the current state of the principal markets for nondeposit based funding for German financial institutions. A key finding is that although the current level of liquidity of the banking system is abundant, underpinned by active central bank support, the resilience of liquidity in some bank funding markets appears weaker than in the past. The financial system is dominated by banks and is generally sound and robust to shocks. The German banking system consists of a large number of banks in three main pillars: private commercial banks, public sector banks, and cooperative banks (accounting for 39 percent, 27 percent, and 14 percent, respectively of total banking system assets).
Speaking My Mind
The most important speeches of America's "Great Communicator": Here, in his own words, is the record of Ronald Reagan's remarkable political career and historic eight-year presidency.
Uncrowned
The fascinating hidden history of the British royal family's nearly men - those who had been destined for the throne, but never made it. Mantle explores the story behind these would-be-kings, showing how the question of succession has not always been a straightforward one.
Verkaufsoptimierung
"Verkaufsoptimierung" liefert Marketing- und Verkaufsverantwortlichen in Unternehmen sofort umsetzbare Ideen zur besseren Marktbearbeitung und optimalen Verkaufsvorbereitung. Zahlreiche praktische Anregungen bieten Lösungsansätze, um Stammkunden zu halten, aber auch neue Kunden zu gewinnen, zu binden und zu entwickeln.
The Chronicles of Fernão Lopes
This 5 volume set represents the first complete English translation of one of the major chronicles of medieval Europe, by 'the father of Portuguese historiography' Covering the reigns of Pedro I, Fernando I and João I up to the signing of the 1411 treaty with Castile which confirmed the survival of the Portuguese kingdom, the chronicles provide a wealth of detail on late fourteenth-century politics, diplomacy, warfare and economic matters, courtly society, queenship and noble women, as well as more mundane concerns such as food, health and the purchasing power of a fluctuating currency. Lopes had a keen eye for detail and a perspective especially attuned to the common people, and his chronicles provide an invaluable source for the history of Western Europe in the later Middle Ages. The first four volumes are accompanied by introductions and bibliographies setting the translations in context, and the fifth volume contains a general bibliography and a comprehensive general index encompassing all of the chronicles.
Intercultural Explorations and the Court of Henry VIII
Seldom has a royal court invited such intensive study as that of Henry VIII, or become so prominent in popular culture. Nonetheless, Intercultural Explorations and the Court of Henry VIII is committed to offering a fresh perspective on Tudor court culture, by using continental sources to contextualize, nuance, and challenge long-held perspectives that have been formed through the use of well-studied, Anglophone sources. Using a wide variety of textual sources, from ambassadorial correspondence, account books, household étiquettes, legal records, royal warrants, and marital contracts, to play texts and travel accounts, this study presents original research in history, literature, and cultura...
