Overview
- A flexible model for tailor-made analyses
Part of the book series: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics (MOW)
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Table of contents (7 chapters)
Keywords
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.
Authors and Affiliations
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.
Bibliographic Information
Book Title: Modelling German Covered Bonds
Authors: Manuela Spangler
Series Title: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
DOI: https://doi.org/10.1007/978-3-658-23915-2
Publisher: Springer Spektrum Wiesbaden
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2018
Softcover ISBN: 978-3-658-23914-5Published: 16 October 2018
eBook ISBN: 978-3-658-23915-2Published: 10 October 2018
Series ISSN: 2523-7926
Series E-ISSN: 2523-7934
Edition Number: 1
Number of Pages: XV, 266
Number of Illustrations: 65 b/w illustrations
Topics: Quantitative Finance, Risk Management, Financial Engineering