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Cover Art
Author Spangler, Manuela, author.

Title Modelling German covered bonds / Manuela Spangler.

Published Wiesbaden : Springer Spektrum, 2018.


Location Call No. Status
Physical description 1 online resource (xv, 266 pages) : illustrations.
Series Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics, 2523-7926
Mathematische Optimierung und Wirtschaftsmathematik, 2523-7926
Springer Mathematics and Statistics eBooks 2018 English+International
Bibliography Includes bibliographical references.
Contents Introduction -- Pfandbrief characteristics -- Credit risk models : a literature review -- The pfandbrief model -- Model calibration and scenario generation -- Simulation results -- Conclusion and outlook.
Summary 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.
Other author SpringerLink issuing body.
Subject Covered bonds -- Mathematical models.
Electronic books.
ISBN 9783658239152 (electronic bk.)
3658239158 (electronic bk.)
9783658239145 (print)
Standard Number 10.1007/978-3-658-23915-2