Matches in SemOpenAlex for { <https://semopenalex.org/work/W1704055949> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W1704055949 abstract "Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for the debt service, the creditors of the bonds have recourse to the issuer's assets and their claims are pari passu with the claims of the creditors of senior unsecured debt. Historically, covered bonds have been very safe investments. During their more than two hundred years of existence, investors never suffered losses due to missed payments from covered bonds. From a risk management perspective, therefore modelling covered bonds losses is mainly of interest for estimating the impact that the asset encumbrance by the cover pool has on the loss characteristics of the issuer's senior unsecured debt. We explore one-period structural modelling approaches for covered bonds and senior unsecured debt losses with one and two asset value variables respectively. Obviously, two-assets models with separate values of the cover pool and the issuer's remaining portfolio allow for more realistic modelling. However, we demonstrate that exact calibration of such models may be impossible. We also investigate a one-asset model in which the riskiness of the cover pool is reflected by a risk-based adjustment of the encumbrance ratio of the issuer's assets." @default.
- W1704055949 created "2016-06-24" @default.
- W1704055949 creator A5006166636 @default.
- W1704055949 date "2015-01-01" @default.
- W1704055949 modified "2023-10-18" @default.
- W1704055949 title "Fitting a Distribution to Value-at-Risk and Expected Shortfall, with an Application to Covered Bonds" @default.
- W1704055949 cites W1544959167 @default.
- W1704055949 cites W1557270667 @default.
- W1704055949 cites W1581781568 @default.
- W1704055949 cites W1816863938 @default.
- W1704055949 cites W2105973145 @default.
- W1704055949 cites W2132527237 @default.
- W1704055949 cites W2169449449 @default.
- W1704055949 cites W2170838015 @default.
- W1704055949 cites W2507176704 @default.
- W1704055949 doi "https://doi.org/10.2139/ssrn.2611360" @default.
- W1704055949 hasPublicationYear "2015" @default.
- W1704055949 type Work @default.
- W1704055949 sameAs 1704055949 @default.
- W1704055949 citedByCount "0" @default.
- W1704055949 crossrefType "journal-article" @default.
- W1704055949 hasAuthorship W1704055949A5006166636 @default.
- W1704055949 hasBestOaLocation W17040559492 @default.
- W1704055949 hasConcept C10138342 @default.
- W1704055949 hasConcept C105795698 @default.
- W1704055949 hasConcept C110121322 @default.
- W1704055949 hasConcept C134306372 @default.
- W1704055949 hasConcept C144133560 @default.
- W1704055949 hasConcept C149782125 @default.
- W1704055949 hasConcept C162118730 @default.
- W1704055949 hasConcept C162324750 @default.
- W1704055949 hasConcept C2776291640 @default.
- W1704055949 hasConcept C32896092 @default.
- W1704055949 hasConcept C33923547 @default.
- W1704055949 hasConcept C5496284 @default.
- W1704055949 hasConcept C69738904 @default.
- W1704055949 hasConcept C94128290 @default.
- W1704055949 hasConceptScore W1704055949C10138342 @default.
- W1704055949 hasConceptScore W1704055949C105795698 @default.
- W1704055949 hasConceptScore W1704055949C110121322 @default.
- W1704055949 hasConceptScore W1704055949C134306372 @default.
- W1704055949 hasConceptScore W1704055949C144133560 @default.
- W1704055949 hasConceptScore W1704055949C149782125 @default.
- W1704055949 hasConceptScore W1704055949C162118730 @default.
- W1704055949 hasConceptScore W1704055949C162324750 @default.
- W1704055949 hasConceptScore W1704055949C2776291640 @default.
- W1704055949 hasConceptScore W1704055949C32896092 @default.
- W1704055949 hasConceptScore W1704055949C33923547 @default.
- W1704055949 hasConceptScore W1704055949C5496284 @default.
- W1704055949 hasConceptScore W1704055949C69738904 @default.
- W1704055949 hasConceptScore W1704055949C94128290 @default.
- W1704055949 hasLocation W17040559491 @default.
- W1704055949 hasLocation W17040559492 @default.
- W1704055949 hasOpenAccess W1704055949 @default.
- W1704055949 hasPrimaryLocation W17040559491 @default.
- W1704055949 hasRelatedWork W1574552444 @default.
- W1704055949 hasRelatedWork W1591900788 @default.
- W1704055949 hasRelatedWork W1942942942 @default.
- W1704055949 hasRelatedWork W2086722369 @default.
- W1704055949 hasRelatedWork W2908927340 @default.
- W1704055949 hasRelatedWork W2953108021 @default.
- W1704055949 hasRelatedWork W3121362720 @default.
- W1704055949 hasRelatedWork W3123823930 @default.
- W1704055949 hasRelatedWork W3124202711 @default.
- W1704055949 hasRelatedWork W4313552721 @default.
- W1704055949 isParatext "false" @default.
- W1704055949 isRetracted "false" @default.
- W1704055949 magId "1704055949" @default.
- W1704055949 workType "article" @default.