Modelling German Covered Bonds

Language: English

Published by Springer, Berlin, Springer Spektrum, 2018

365823914X / 9783658239145

Series: Book 1 of 5 - Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783658239145

Title
Modelling German Covered Bonds
Author
Manuela Spangler
Publisher
Springer, Berlin, Springer Spektrum
Publication year
2018
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
365823914X
ISBN 13
9783658239145
Item weight
371 grams
Dimensions
211x150x17 mm
Series
Book 1 of 5: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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