Intro; Acknowledgements; Contents; List of Figures; List of Tables; Abstract; 1 Introduction; 2 Pfandbrief Characteristics; 2.1 Main Product Features; 2.2 Risks from an Investor's Perspective; 2.3 Implications for Modelling; 3 Credit Risk Models: A Literature Review; 3.1 Approaches to Credit Risk Modelling; 3.2 Introduction to Structural Credit Risk Models; 3.2.1 The Merton Model; 3.2.2 Extensions of the Merton Model; 3.2.3 Specification of the Default Barrier; 3.2.4 The Role of Liquidity; 3.2.5 Empirical Findings on Model Performance; 3.3 Bank Default Modelling

3.3.1 Funding and Liquidity Management3.3.2 Structural Credit Risk Models for Bank Default; 3.4 Summary and Conclusion; 4 The Pfandbrief Model; 4.1 Distinction of Nine Pfandbrief Scenarios; 4.2 The Bank's Balance Sheet; 4.3 Market Environment; 4.3.1 Risk-Free Interest Rates; 4.3.2 Asset Creditworthiness; 4.3.3 Performance of the Bank's Risky Assets; 4.4 Funding and Liquidity; 4.4.1 Matching Cover Calculations; 4.4.2 Bank Funding; 4.4.3 Cover Pool Funding; 4.5 Specification of Default Events and Liquidation Payments; 4.5.1 Bank Default; 4.5.2 Cover Pool Default; 4.5.3 Liquidation Payments

4.6 Asset Liability Management4.6.1 Funding Strategies; 4.6.2 Reinvestment Strategies; 4.6.3 Maintenance of Overcollateralization; 4.6.4 Liability Payments; 4.6.5 Balance Sheet Update; 4.7 Default Parameters; 5 Model Calibration and Scenario Generation; 5.1 An Exemplary Balance Sheet Profile; 5.1.1 Nominals and Maturities; 5.1.2 Asset Default Parameters and Present Values; 5.1.3 Further Model Parameters; 5.2 Calibration of the Market Environment; 5.2.1 Risk-Free Interest Rates; 5.2.2 Asset Creditworthiness; 5.3 Scenario Generation; 6 Simulation Results; 6.1 Default Statistics

6.2 Analysis of Loss Drivers6.3 Bank and Cover Pool Solvency; 6.4 Funding and Liquidity; 6.5 Scenario Quality and Stability of Results; 6.6 Sensitivity Analyses; 6.7 Summary of Simulation Results; 7 Conclusion and Outlook; Bibliography; Supplementary Tables and Figures