| 書目名稱 | Modelling German Covered Bonds |
| 編輯 | Manuela Spangler |
| 視頻video | http://file.papertrans.cn/637/636499/636499.mp4 |
| 概述 | A flexible model for tailor-made analyses |
| 叢書名稱 | Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics |
| 圖書封面 |  |
| 描述 | .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.. |
| 出版日期 | Book 2018 |
| 關鍵詞 | German covered bonds; Pfandbrief model; Quantitative risk analysis; Bank default; Cover pool default; Ove |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-658-23915-2 |
| isbn_softcover | 978-3-658-23914-5 |
| isbn_ebook | 978-3-658-23915-2Series ISSN 2523-7926 Series E-ISSN 2523-7934 |
| issn_series | 2523-7926 |
| copyright | Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2018 |
|Archiver|手機版|小黑屋|
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