Modelling German Covered Bonds (Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics) - Softcover

Buch 1 von 5: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

Spangler, Manuela

 
9783658239145: Modelling German Covered Bonds (Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics)
Softcover
ISBN 10: 365823914X ISBN 13: 9783658239145
Verlag: Springer Spektrum, 2018

Inhaltsangabe

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.

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Über die Autorin bzw. den Autor

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.

Von der hinteren Coverseite

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.

Content
  • Pfandbrief Characteristics
  • Credit Risk Models: A Literature Review
  • The Pfandbrief Model
  • Model Calibration and Scenario Generation
  • Simulation Results
Target Groups
  • Scientists and students in the field of financial mathematics, quantitative finance and banking
  • Practitioners in the field of risk management, rating agencies and regulators
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.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Springer Spektrum
Erscheinungsdatum
2018
Sprache
Englisch
ISBN 10 
365823914X
ISBN 13 
9783658239145
Einband
Taschenbuch
Auflage
1
Anzahl der Seiten
284
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Softcover