Simulation Results

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


In the following, we discuss the simulation results obtained from the exemplary Mortgage Pfandbrief calibration as specified in the previous chapter. More specifically, we set ∆ = 0.5 and Tmax = 12.5, which implies S = 25 and Td = {0, 0.5,…, 12.5}, and take the balance sheet profile in Table A.1 and the model parameters from Tables 5.5, 5.6, 5.9, A.3 to simulate N = 100, 000 scenarios. Subsequently, this setup is referred to as the base run.


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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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