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Model Calibration and Scenario Generation

  • Manuela Spangler
Chapter
Part of the Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics book series (MOW)

Abstract

This chapter is focused on an exemplary model calibration for Mortgage Pfandbriefe. In Section 5.1 we describe how the bank’s balance sheet profile can be derived based on publicly available data and on expert opinion. Section 5.2 then addresses the calibration of the market environment, i.e. the determination of the parameters of the risk-free interest rate dynamics and the state variable processes of the bank’s risky assets. In Section 5.3 the generation of the stochastic scenarios of the market environment is specified.

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Copyright information

© Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Institute of Mathematics, Business MathematicsUniversity of AugsburgAugsburgGermany

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