German Covered Bonds
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Author | : Ralf Werner |
Publisher | : Springer Science & Business Media |
Total Pages | : 89 |
Release | : 2013-12-18 |
Genre | : Business & Economics |
ISBN | : 3319025538 |
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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.
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 37 |
Release | : 2011-12-23 |
Genre | : Business & Economics |
ISBN | : 1463928548 |
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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.
Author | : Jonathan L. Golin |
Publisher | : Euromoney Books |
Total Pages | : 354 |
Release | : 2006 |
Genre | : Business & Economics |
ISBN | : 9781843742197 |
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The covered bonds markets are rapidly expanding in terms of issuance, geographic reach and the launch of new structured alternatives. New issue volumes exceeded 130bn euros by mid-October 2005 alone.Covered bonds are now being issued in new juisdictions across emerging Europe. The UK and the Netherlands are developing their own alternatives. The US and Canadian markets are poised for development.This new book guides you through the legislation, structures and investor opportunities in covered bonds, ensuring you understand these new developments across Europe and North America.
Author | : Maximilian Hughes |
Publisher | : |
Total Pages | : |
Release | : 2019 |
Genre | : |
ISBN | : |
Download On the Risk Assessment of German Covered Bonds in a One-Period Setting Book in PDF, Epub and Kindle
Author | : Cheng Liu |
Publisher | : |
Total Pages | : 66 |
Release | : 2015 |
Genre | : Covered bonds |
ISBN | : |
Download Liquidity of German Covered Bonds Before and During the Financial Crisis Book in PDF, Epub and Kindle
Author | : Manuela Spangler |
Publisher | : |
Total Pages | : 266 |
Release | : 2018 |
Genre | : Covered bonds |
ISBN | : 9783658239169 |
Download Modelling German Covered Bonds Book in PDF, Epub and Kindle
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.
Author | : Antonio Garcia Pascual |
Publisher | : International Monetary Fund |
Total Pages | : 28 |
Release | : 2007 |
Genre | : Business & Economics |
ISBN | : |
Download The Use of Mortgage Covered Bonds Book in PDF, Epub and Kindle
The rapid mortgage credit growth experienced in recent years in mature and emerging countries has raised some stability concerns. Many European credit institutions in mature markets have reacted by increasing securitization, particularly via mortgage covered bonds. From the issuer's perspective, these instruments have become an attractive funding source and a tool for assetliability management; from the investor's perspective, covered bonds enjoy a favorable risk-return profile and a very liquid market. In this paper, we examine the two largest "jumbo" covered bond markets, Germany and Spain. We show how movements in covered bond prices can be used to analyze the credit developments of the underlying issuer and the quality of its mortgage portfolio. Our analysis also suggests that mortgage covered bonds could be of interest to other mature and emerging markets facing similar risks related to mortgage credit.
Author | : Philipp Neelmeier |
Publisher | : Cuvillier Verlag |
Total Pages | : 180 |
Release | : 2018-11-29 |
Genre | : Business & Economics |
ISBN | : 3736989121 |
Download Risk Assessment of Covered Bonds in the International Secondary Market Book in PDF, Epub and Kindle
Die Dissertation „Risk Assessment of Covered Bonds in the International Secondary Market – An Empirical Analysis” beschäftigt sich mit der Risikobewertung von Covered Bonds im internationalen Sekundärmarkt. Covered Bonds sind verzinsliche Wertpapiere, die von Finanzinstituten emittiert werden und durch Vermögenswerte besichert sind, welche in einem sogenannten Cover Pool zusammengefasst werden. In der großen Mehrheit der Fälle handelt es sich bei diesen Vermögensgegenständen entweder um Hypothekendarlehen oder um Kredite an öffentliche Stellen, wie z. B. Staaten oder sonstige Gebietskörperschaften. Die durch diese Arten von Vermögensgegenständen besicherten Covered Bonds werden dementsprechend als Hypotheken-Covered-Bonds bzw. öffentliche Covered Bonds bezeichnet. Während Covered Bonds in der Vergangenheit häufig generell als nahezu ausfallrisikofrei angesehen wurden, hat sich diese Ansicht bedingt durch die Finanzkrise sowie die sich anschließende Staatsschuldenkrise geändert. Vor diesem Hintergrund wird in dieser Arbeit im Rahmen von empirischen Analysen sowohl für öffentliche als auch für Hypotheken-Covered-Bonds untersucht, welche Faktoren die Höhe der Risikoprämien beeinflussen und es werden diesbezügliche Unterschiede zwischen den beiden Covered-Bond-Arten aufgezeigt.
Author | : Manuela Spangler |
Publisher | : Springer |
Total Pages | : 275 |
Release | : 2018-10-10 |
Genre | : Mathematics |
ISBN | : 3658239158 |
Download Modelling German Covered Bonds Book in PDF, Epub and Kindle
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.
Author | : Philip Moore |
Publisher | : |
Total Pages | : 137 |
Release | : 2000 |
Genre | : Bond market |
ISBN | : 9781855647558 |
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