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Modelling German Covered Bonds by Manuela Spangler at Abbey's Bookshop,
Modelling German Covered Bonds
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Manuela Spangler

Modelling German Covered Bonds

Manuela Spangler

$147.95   $118.08

Paperback

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English
Springer Spektrum
16 October 2018
Credit & credit institutions; Management & management techniques
Series: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
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.
By:  
Imprint:   Springer Spektrum
Country of Publication:   Germany
Edition:   2018 ed.
Dimensions:   Height: 210mm,  Width: 148mm, 
Weight:   454g
ISBN:   9783658239145
ISBN 10:   365823914X
Series:   Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics
Pages:   266
Publication Date:  
Audience:   Professional and scholarly ,  Undergraduate
Format:   Paperback
Publisher's Status:   Active
Pfandbrief Characteristics.- Credit Risk Models: A Literature Review.- The Pfandbrief Model.- Model Calibration and Scenario Generation.- Simulation Results.

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.

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