Modelling German Covered Bonds

• Main Author: Spangler, Manuela (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, 2018.
• Edition: 1st ed. 2018.
• Series: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics,
• Subjects: Economics, Mathematical .; Risk management.; Financial engineering.; Quantitative Finance.; Risk Management.; Financial Engineering.

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...

Table of Contents:

• Pfandbrief Characteristics
• Credit Risk Models: A Literature Review
• The Pfandbrief Model
• Model Calibration and Scenario Generation
• Simulation Results.