| Document Type
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BL
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| Record Number
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871446
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| Main Entry
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Spangler, Manuela
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| Title & Author
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Modelling German covered bonds /\ Manuela Spangler.
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| Publication Statement
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Wiesbaden :: Springer Spektrum,, 2018.
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| Series Statement
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Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics,
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| Page. NO
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1 online resource (xv, 266 pages) :: illustrations
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| ISBN
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3658239158
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: 3658239166
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: 9783658239152
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: 9783658239169
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365823914X
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9783658239145
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| Bibliographies/Indexes
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Includes bibliographical references.
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| Contents
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Introduction -- Pfandbrief characteristics -- Credit risk models : a literature review -- The pfandbrief model -- Model calibration and scenario generation -- Simulation results -- Conclusion and outlook.
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| Abstract
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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.
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| Subject
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Covered bonds-- Mathematical models.
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| Subject
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Finance.
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| Subject
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Financial engineering.
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| Subject
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Risk management.
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| Dewey Classification
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332.63/23
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| LC Classification
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HG5095
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