Matches in SemOpenAlex for { <https://semopenalex.org/work/W2950595853> ?p ?o ?g. }
Showing items 1 to 68 of
68
with 100 items per page.
- W2950595853 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.
- W2950595853 created "2019-06-27" @default.
- W2950595853 creator A5006166636 @default.
- W2950595853 date "2015-05-27" @default.
- W2950595853 modified "2023-09-27" @default.
- W2950595853 title "Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds" @default.
- W2950595853 cites W1581781568 @default.
- W2950595853 cites W1816863938 @default.
- W2950595853 cites W2105973145 @default.
- W2950595853 cites W2132527237 @default.
- W2950595853 cites W2169449449 @default.
- W2950595853 cites W2507176704 @default.
- W2950595853 cites W2971779409 @default.
- W2950595853 cites W3124407081 @default.
- W2950595853 hasPublicationYear "2015" @default.
- W2950595853 type Work @default.
- W2950595853 sameAs 2950595853 @default.
- W2950595853 citedByCount "1" @default.
- W2950595853 countsByYear W29505958532016 @default.
- W2950595853 crossrefType "posted-content" @default.
- W2950595853 hasAuthorship W2950595853A5006166636 @default.
- W2950595853 hasConcept C10138342 @default.
- W2950595853 hasConcept C120527767 @default.
- W2950595853 hasConcept C138170105 @default.
- W2950595853 hasConcept C144133560 @default.
- W2950595853 hasConcept C162118730 @default.
- W2950595853 hasConcept C2780821815 @default.
- W2950595853 hasConcept C38652104 @default.
- W2950595853 hasConcept C41008148 @default.
- W2950595853 hasConcept C69738904 @default.
- W2950595853 hasConcept C76178495 @default.
- W2950595853 hasConceptScore W2950595853C10138342 @default.
- W2950595853 hasConceptScore W2950595853C120527767 @default.
- W2950595853 hasConceptScore W2950595853C138170105 @default.
- W2950595853 hasConceptScore W2950595853C144133560 @default.
- W2950595853 hasConceptScore W2950595853C162118730 @default.
- W2950595853 hasConceptScore W2950595853C2780821815 @default.
- W2950595853 hasConceptScore W2950595853C38652104 @default.
- W2950595853 hasConceptScore W2950595853C41008148 @default.
- W2950595853 hasConceptScore W2950595853C69738904 @default.
- W2950595853 hasConceptScore W2950595853C76178495 @default.
- W2950595853 hasLocation W29505958531 @default.
- W2950595853 hasOpenAccess W2950595853 @default.
- W2950595853 hasPrimaryLocation W29505958531 @default.
- W2950595853 hasRelatedWork W173245410 @default.
- W2950595853 hasRelatedWork W1786256172 @default.
- W2950595853 hasRelatedWork W2092151645 @default.
- W2950595853 hasRelatedWork W2097931238 @default.
- W2950595853 hasRelatedWork W2164483380 @default.
- W2950595853 hasRelatedWork W2179796667 @default.
- W2950595853 hasRelatedWork W2257824419 @default.
- W2950595853 hasRelatedWork W2410968414 @default.
- W2950595853 hasRelatedWork W2476101804 @default.
- W2950595853 hasRelatedWork W2530880588 @default.
- W2950595853 hasRelatedWork W2611348307 @default.
- W2950595853 hasRelatedWork W3021484142 @default.
- W2950595853 hasRelatedWork W3122678058 @default.
- W2950595853 hasRelatedWork W3123705632 @default.
- W2950595853 hasRelatedWork W3124001923 @default.
- W2950595853 hasRelatedWork W3188947766 @default.
- W2950595853 hasRelatedWork W3193730529 @default.
- W2950595853 hasRelatedWork W35374927 @default.
- W2950595853 hasRelatedWork W59074281 @default.
- W2950595853 hasRelatedWork W63125403 @default.
- W2950595853 isParatext "false" @default.
- W2950595853 isRetracted "false" @default.
- W2950595853 magId "2950595853" @default.
- W2950595853 workType "article" @default.