Modelling German Covered Bonds

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Modelling German Covered Bonds

Manuela Spangler
Modelling German Covered Bonds Book PDF

Author : Manuela Spangler
Publisher : Unknown
Page : 266 pages
File Size : 53,6 Mb
Release : 2018
Category : Covered bonds
ISBN : 3658239166

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Modelling German Covered Bonds by Manuela Spangler Pdf

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. Content Pfandbrief Characteristics Credit Risk Models: A Literature Review The Pfandbrief Model Model Calibration and Scenario Generation Simulation Results Target Groups Scientists and students in the field of financial mathematics, quantitative finance and banking Practitioners in the field of risk management, rating agencies and regulators 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.

German Covered Bonds

Ralf Werner,Manuela Spangler
German Covered Bonds Book PDF

Author : Ralf Werner,Manuela Spangler
Publisher : Springer Science & Business Media
Page : 89 pages
File Size : 52,5 Mb
Release : 2013-12-18
Category : Business & Economics
ISBN : 9783319025537

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German Covered Bonds by Ralf Werner,Manuela Spangler Pdf

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 strength of the legal (or contractual) framework and the quality of the cover pool serving as collateral. This monograph provides a structured in-depth analysis of the legal framework and the risks inherent in a Pfandbrief, taking into consideration recent market developments. Starting from the legal framework, the German Pfandbrief is introduced without requiring prior knowledge. Covered bond related risks are explained in detail and their relevance to the Pfandbrief is thoroughly discussed with focus on the two most common Pfandbrief types, mortgage and public Pfandbriefe. In addition to that, the monograph comes with an extensive collection of Pfandbrief-related literature and a glossary explaining the main technical terms.

Modelling German Covered Bonds

Manuela Spangler
Modelling German Covered Bonds Book PDF

Author : Manuela Spangler
Publisher : Springer
Page : 275 pages
File Size : 51,9 Mb
Release : 2018-10-10
Category : Mathematics
ISBN : 9783658239152

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Modelling German Covered Bonds by Manuela Spangler Pdf

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.

Germany

International Monetary Fund
Germany Book PDF

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 37 pages
File Size : 41,6 Mb
Release : 2011-12-23
Category : Business & Economics
ISBN : 9781463928544

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Germany by International Monetary Fund Pdf

As part of the 2011 Financial Sector Assessment Program (FSAP) update for Germany, this Technical Note reviews recent developments of mortgage-covered bond (Pfandbrief) and mortgage securitization markets in Germany, and explores future prospects for each against the background of ongoing regulatory changes. It examines the characteristics of the two markets and their performance through the crisis, and analyzes some of the policy reactions that are currently tending to favor covered bonds over securitization. Some of the systemic vulnerabilities associated with covered bonds are also discussed.

Housing Finance Markets in Transition Economies Trends and Challenges

OECD
Housing Finance Markets in Transition Economies Trends and Challenges Book PDF

Author : OECD
Publisher : OECD Publishing
Page : 316 pages
File Size : 42,5 Mb
Release : 2005-08-10
Category : Electronic
ISBN : 9789264010178

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Housing Finance Markets in Transition Economies Trends and Challenges by OECD Pdf

A comprehensive issue-by-issue and country-by-country study of housing markets and housing finance markets in Central and Eastern Europe.

The Policy-Making Process and Social Learning in Russia

Marina Khmelnitskaya
The Policy Making Process and Social Learning in Russia Book PDF

Author : Marina Khmelnitskaya
Publisher : Springer
Page : 279 pages
File Size : 44,7 Mb
Release : 2016-04-29
Category : Political Science
ISBN : 9781137409744

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The Policy-Making Process and Social Learning in Russia by Marina Khmelnitskaya Pdf

Centering its study around three explanatory variables - actors, institutions and ideas - this book argues that Russia's hybrid institutional environment reduces the competition of policy ideas, both at the stage of policy elaboration by the community of state and non-state policy experts, and also at the stage of policy adoption by parliament.

Developments in Macro-Finance Yield Curve Modelling

Jagjit S. Chadha,Michael A. S. Joyce,Lucio Sarno
Developments in Macro Finance Yield Curve Modelling Book PDF

Author : Jagjit S. Chadha,Michael A. S. Joyce,Lucio Sarno
Publisher : Cambridge University Press
Page : 571 pages
File Size : 42,5 Mb
Release : 2014-02-06
Category : Business & Economics
ISBN : 9781107044555

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Developments in Macro-Finance Yield Curve Modelling by Jagjit S. Chadha,Michael A. S. Joyce,Lucio Sarno Pdf

State-of-the-art research from academics and policymakers on the role of and challenges to monetary policy during the ongoing financial crisis.

Global Securitisation and CDOs

John Deacon
Global Securitisation and CDOs Book PDF

Author : John Deacon
Publisher : John Wiley & Sons
Page : 688 pages
File Size : 54,5 Mb
Release : 2004-04-21
Category : Business & Economics
ISBN : 9780470870532

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Global Securitisation and CDOs by John Deacon Pdf

"This is an essential book for any practitioner, researcher or student of securitisation - concise and accurate coverage of the key aspects of securitisation on all the main and secondary markets of the world." ?Alexander Batchvarov, Managing Director, International Structured Product Strategy, Merrill Lynch, London. "John Deacon's original book became the leading textbook for those genuinely interested in gaining a profound and detailed understanding of the arcane world of securitisation. The new, updated version confirms John's status as the top writer in this sector. Securitisation has moved on, becoming ever more complex in both its detail and its variety, but John's book never fails to deal with all the intellectual challenges posed, in a clear, logical and comprehensive fashion. A must for all practitioners- ? I thoroughly enjoyed it." ?Robert Palache, Managing Director, Head of European Infrastructure Finance and Corporate Securitisation, Barclays Capi tal "Deacon?s book is an unparalleled treatise on all aspects of asset securitisation and CDOs and is ideal for use by both experienced market practitioners and by those new to the seemingly ever-expanding world of securitisation. The book comprehensively outlines the various structures encountered, ranging from true sale and future flow financings to synthetics and whole business, addressing not only the framework of the structures but also the regulatory and accounting implications. A must have reference book." ?David Newby, Executive Director, ABN AMRO BANK N.V., Head of UK and Irish Securitisation, Head of European Commercial Real Estate Securitisation Synthetic credit derivatives technology, CDOs, the covered bond market, the mortgage-backed market and M&A financing have all come together to make securitization the fastest growing and most flexible area of the global credit markets. This authoritative work looks at the recent synthetic structures and credit derivatives used in CDOs and at the new Basel Capital Accord and addresses the framework of these structures as well as the regulatory and accounting implications. You'll find truly global insights, coverage of both the financial and legal aspects of securitization, and a glossary of market and legal terminology. Order your copy of this comprehensive update on the development of securitization today!

The Handbook of European Fixed Income Securities

Frank J. Fabozzi,Moorad Choudhry
The Handbook of European Fixed Income Securities Book PDF

Author : Frank J. Fabozzi,Moorad Choudhry
Publisher : John Wiley & Sons
Page : 1026 pages
File Size : 40,9 Mb
Release : 2004-02-03
Category : Business & Economics
ISBN : 9780471649519

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The Handbook of European Fixed Income Securities by Frank J. Fabozzi,Moorad Choudhry Pdf

A well-rounded guide for those interested in European financial markets With the advent of the euro and formation of the European Union, financial markets on this continent are slowly beginning to gain momentum. Individuals searching for information on these markets have come up empty-until now. The Handbook of European Fixed Income Markets is the first book written on this burgeoning market. It contains extensive, in-depth coverage of every aspect of the current European fixed income markets and their derivatives. This comprehensive resource includes both a qualitative approach to products, conventions, and institutions as well as quantitative coverage of valuation and analysis of each instrument. The Handbook of European Fixed Income Markets introduces readers to developed markets such as the U.K., France, Germany, Italy, Spain, and Holland, as well as emerging markets in Eastern Europe. Government and corporate bond market instruments and institutions are also discussed. U.S.-based investors, researchers, and academics as well as students and financial professionals in other parts of the world will all turn to this book for complete and accurate information on European financial instruments and markets. Frank J. Fabozzi (New Hope, PA) is a financial consultant, the Editor of the Journal of Portfolio Management, and Adjunct Professor of Finance at Yale University's School of Management. Moorad Choudhry (Surrey, UK) is a Vice President with JPMorgan Chase structured finances services in London.

German Bond Yields and Debt Supply: Is There a “Bund Premium”?

Anne-Charlotte Paret,Anke Weber
German Bond Yields and Debt Supply Is There a Bund Premium Book PDF

Author : Anne-Charlotte Paret,Anke Weber
Publisher : International Monetary Fund
Page : 34 pages
File Size : 45,7 Mb
Release : 2019-11-01
Category : Business & Economics
ISBN : 9781513518329

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German Bond Yields and Debt Supply: Is There a “Bund Premium”? by Anne-Charlotte Paret,Anke Weber Pdf

Are Bunds special? This paper estimates the “Bund premium” as the difference in convenience yields between other sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A higher premium suggests less substitutability of sovereign bonds. We document a rise in the “Bund premium” in the post-crisis period. We show that there is a negative relationship of the premium with the relative supply of German sovereign bonds, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going forward, we expect German government debt supply to remain scarce, with important implications for the ECB’s monetary policy strategy.

Handbook of Islamic Banking

Kabir Hassan,Mervyn Lewis
Handbook of Islamic Banking Book PDF

Author : Kabir Hassan,Mervyn Lewis
Publisher : Edward Elgar Publishing
Page : 472 pages
File Size : 49,5 Mb
Release : 2009-01-01
Category : Business & Economics
ISBN : 1847205410

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Handbook of Islamic Banking by Kabir Hassan,Mervyn Lewis Pdf

The Handbook of Islamic Banking comprises 25 studies by leading international experts on Islamic banking and finance specially commissioned to analyse the various debates and the current state of play in the field. From its origins thirty years ago, Islamic banking has expanded rapidly to become a distinctive and fast growing segment of the international banking and capital markets. Despite this expansion, Islamic banking still remains poorly understood in many parts of the Muslim world and continues to be a mystery in much of the West. This comprehensive Handbook provides a succinct analysis of the workings of Islamic banking and finance, accessible to a wide range of readers. At the same time, it seeks to bring the current research agenda and the main issues on Islamic banking before a wider audience. Islamic banking offers, as an alternative to conventional interest-based financing methods, a wide variety of financial instruments and investment vehicles based on profit-and-loss sharing arrangements. These are all explored in detail along with other subjects such as governance and risk management, securities and investment, structured financing, accounting and regulation, economic development and globalization. M. Kabir Hassan, Mervyn Lewis and the other contributors have created an authoritative and original reference work, which will contribute to a wider understanding of Islamic banking as well as provoking further discussion and research. It will be invaluable to all scholars, researchers and policymakers with an interest in this subject.

The Alternative Investment Fund Managers Directive

Dirk A. Zetzsche
The Alternative Investment Fund Managers Directive Book PDF

Author : Dirk A. Zetzsche
Publisher : Kluwer Law International B.V.
Page : 948 pages
File Size : 53,6 Mb
Release : 2015-09-14
Category : Law
ISBN : 9789041149954

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The Alternative Investment Fund Managers Directive by Dirk A. Zetzsche Pdf

Apart from MiFID, the Alternative Investment Fund Managers Directive (AIFMD) may be the most important European asset management regulation of the early twenty-first century. In this in-depth analytical and critical discussion of the content and system of the directive, thirty-eight contributing authors – academics, lawyers, consultants, fund supervisors, and fund industry experts – examine the AIFMD from every angle. They cover structure, regulatory history, scope, appointment and authorization of the manager, the requirements for depositaries and prime brokers, rules on delegation, reporting requirements, transitional provisions, and the objectives stipulated in the recitals and other official documents. The challenging implications and contexts they examine include the following: – connection with systemic risk and the financial crisis; - nexus with insurance for negligent conduct; - connection with corporate governance doctrine; - risk management; - transparency; - the cross-border dimension; - liability for lost assets; - impact on alternative investment strategies, and - the nexus with the European Regulation on Long-Term Investment Funds (ELTIFR). Nine country reports, representing most of Europe’s financial centres and fund markets add a national perspective to the discussion of the European regulation. These chapters deal with the potential interactions among the AIFMD and the relevant laws and regulations of Austria, France, Germany, Italy, Luxembourg, Liechtenstein, The Netherlands, Malta and the United Kingdom. The second edition of the book continues to deliver not only the much-needed discussion of the inconsistencies and difficulties when applying the directive, but also provides guidance and potential solutions to the problems it raises. The second edition considers all new developments in the field of alternative investment funds, their managers, depositaries, and prime brokers, including, but not limited to, statements by the European Securities and Markets Authority (ESMA) and national competent authorities on the interpretation of the AIFMD, as well as new European regulation, in particular the PRIIPS Regulation, the ELTIF Regulation, the Regulation on European Venture Capital Funds (EuVeCaR), the Regulation on European Social Entrepreneurship Funds (EUSEFR), MiFID II, and UCITS V. The book will be warmly welcomed by investors and their counsel, fund managers, depositaries, asset managers, administrators, as well as regulators and academics in the field.

Covered Bonds Handbook

Anna T. Pinedo
Covered Bonds Handbook Book PDF

Author : Anna T. Pinedo
Publisher : Unknown
Page : 0 pages
File Size : 44,7 Mb
Release : 2010
Category : Asset-backed financing
ISBN : 1402412940

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Covered Bonds Handbook by Anna T. Pinedo Pdf

Covered Bond Handbook is the first comprehensive guide to these time-tested financing alternatives, helping you to take full advantage of these debt instruments.

International Encyclopedia of Housing and Home

Anonim
International Encyclopedia of Housing and Home Book PDF

Author : Anonim
Publisher : Elsevier
Page : 3870 pages
File Size : 44,9 Mb
Release : 2012-10-09
Category : Social Science
ISBN : 9780080471716

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International Encyclopedia of Housing and Home by Anonim Pdf

Available online via SciVerse ScienceDirect, or in print for a limited time only, The International Encyclopedia of Housing and Home, Seven Volume Set is the first international reference work for housing scholars and professionals, that uses studies in economics and finance, psychology, social policy, sociology, anthropology, geography, architecture, law, and other disciplines to create an international portrait of housing in all its facets: from meanings of home at the microscale, to impacts on macro-economy. This comprehensive work is edited by distinguished housing expert Susan J. Smith, together with Marja Elsinga, Ong Seow Eng, Lorna Fox O'Mahony and Susan Wachter, and a multi-disciplinary editorial team of 20 world-class scholars in all. Working at the cutting edge of their subject, liaising with an expert editorial advisory board, and engaging with policy-makers and professionals, the editors have worked for almost five years to secure the quality, reach, relevance and coherence of this work. A broad and inclusive table of contents signals (or tesitifes to) detailed investigation of historical and theoretical material as well as in-depth analysis of current issues. This seven-volume set contains over 500 entries, listed alphabetically, but grouped into seven thematic sections including methods and approaches; economics and finance; environments; home and homelessness; institutions; policy; and welfare and well-being. Housing professionals, both academics and practitioners, will find The International Encyclopedia of Housing and Home useful for teaching, discovery, and research needs. International in scope, engaging with trends in every world region The editorial board and contributors are drawn from a wide constituency, collating expertise from academics, policy makers, professionals and practitioners, and from every key center for housing research Every entry stands alone on its merits and is accessed alphabetically, yet each is fully cross-referenced, and attached to one of seven thematic categories whose ‘wholes' far exceed the sum of their parts

The Concrete Euro

Paul Mercier,F. Papadia
The Concrete Euro Book PDF

Author : Paul Mercier,F. Papadia
Publisher : Oxford University Press
Page : 404 pages
File Size : 50,9 Mb
Release : 2011-01-27
Category : Business & Economics
ISBN : 9780199557523

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The Concrete Euro by Paul Mercier,F. Papadia Pdf

Written by leading officials at the European Central Bank, this volume examines the theoretical and historical underpinnings of the euro area's framework for monetary policy implementation.