Téléchargez le livre : Modelling German Covered Bonds
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Description

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.
Pages
266 pages
Collection
Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
Parution
2018-10-10
Marque
Springer Spektrum
EAN papier
9783658239145
EAN PDF
9783658239152
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
26
Taille du fichier
4731 Ko
Ce livre est accessible aux handicaps Voir les informations sur l'accessibilité
Prix
63,29 €

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