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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

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  • ISBN 978-3-658-23915-2
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Softcover $74.99
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  • ISBN 978-3-658-23914-5
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About this book

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.

About the authors

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)

Buy this book

eBook $59.99
price for USA in USD (gross)
  • ISBN 978-3-658-23915-2
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $74.99
price for USA in USD
  • ISBN 978-3-658-23914-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

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
eBook ISBN
978-3-658-23915-2
DOI
10.1007/978-3-658-23915-2
Softcover 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