Modelling German Covered Bonds - Couverture souple

Spangler, Manuela

Couverture souple

ISBN 10 : 365823914X ISBN 13 : 9783658239145

Editeur : Springer Spektrum, 2018

Synopsis

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.

A propos du livre

À propos de l'auteur

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.

Détails de l'édition

• Éditeur: Springer Spektrum
• Date d'édition: 2018
• Langue: anglais
• ISBN 10: 365823914X
• ISBN 13: 9783658239145
• Reliure: Broché
• Nombre de pages: 284
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible