Modelling German Covered Bonds

• Κύριος συγγραφέας: Spangler, Manuela (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Spektrum, 2018.
• Έκδοση: 1st ed. 2018.
• Σειρά: Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics,
• Θέματα: 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...

Πίνακας περιεχομένων:

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