英文标题：
《Fitting a distribution to Value-at-Risk and Expected Shortfall, with an
application to covered bonds》
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作者：
Dirk Tasche
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最新提交年份：
2015
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英文摘要：
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.
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中文摘要：
担保债券是优先担保债务的一个具体例子。如果债券发行人违约，担保池中资产的收益将用于偿还债务。在这种情况下，如果覆盖池收益不足以偿还债务，债券债权人可追索发行人的资产，其债权与优先无担保债务债权人的债权同等。历史上，备兑债券一直是非常安全的投资。在其两百多年的历史中，投资者从未因未支付担保债券而遭受损失。因此，从风险管理的角度来看，对备兑债券损失进行建模主要有助于估计备兑池的资产负担对发行人优先无担保债务损失特征的影响。我们分别探讨了一个和两个资产价值变量的有担保债券和高级无担保债务损失的单期结构建模方法。显然，有两种资产模型，分别具有覆盖池和发行人剩余投资组合的价值，可以进行更现实的建模。然而，我们证明，这种模型的精确校准可能是不可能的。我们还研究了一个单资产模型，其中，覆盖池的风险通过基于风险的发行人资产产权负担比率调整来反映。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Statistics 统计学
二级分类：Applications 应用程序
分类描述：Biology, Education, Epidemiology, Engineering, Environmental Sciences, Medical, Physical Sciences, Quality Control, Social Sciences
生物学，教育学，流行病学，工程学，环境科学，医学，物理科学，质量控制，社会科学
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