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Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

Modelling German Covered Bonds

Authors: Spangler, Manuela

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  • A flexible model for tailor-made analyses

書籍の購入

イーブック ¥6,738
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-3-658-23915-2
  • ウォーターマーク付、 DRMフリー
  • ファイル形式: PDF
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ソフトカバー ¥8,423
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-3-658-23914-5
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Usually dispatched within 3 to 5 business days.
この書籍について

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.

著者について

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.

Table of contents (7 chapters)

Table of contents (7 chapters)

書籍の購入

イーブック ¥6,738
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-3-658-23915-2
  • ウォーターマーク付、 DRMフリー
  • ファイル形式: PDF
  • どの電子書籍リーダーからでもすぐにお読みいただけます。
  • ご購入後、すぐにダウンロードしていただけます。
ソフトカバー ¥8,423
価格の適用国: Japan (日本円価格は個人のお客様のみ有効) (小計)
  • ISBN 978-3-658-23914-5
  • 個人のお客様には、世界中どこでも配送料無料でお届けします。
  • Usually dispatched within 3 to 5 business days.
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書誌情報

Bibliographic Information
Book Title
Modelling German Covered Bonds
Authors
Series Title
Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
Copyright
2018
Publisher
Springer Spektrum
Copyright Holder
Springer Fachmedien Wiesbaden GmbH, part of Springer Nature
イーブック ISBN
978-3-658-23915-2
DOI
10.1007/978-3-658-23915-2
ソフトカバー ISBN
978-3-658-23914-5
Series ISSN
2523-7926
Edition Number
1
Number of Pages
XV, 266
Number of Illustrations
65 b/w illustrations
Topics