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Modelling German Covered Bonds

  • Manuela Spangler

Table of contents

  1. Front Matter
    Pages I-XV
  2. Manuela Spangler
    Pages 1-3
  3. Manuela Spangler
    Pages 5-18
  4. Manuela Spangler
    Pages 19-55
  5. Manuela Spangler
    Pages 57-147
  6. Manuela Spangler
    Pages 149-180
  7. Manuela Spangler
    Pages 181-221
  8. Manuela Spangler
    Pages 223-227
  9. Back Matter
    Pages 229-266

About this book

Introduction

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.

Content
  • Pfandbrief Characteristics
  • Credit Risk Models: A Literature Review
  • The Pfandbrief Model
  • Model Calibration and Scenario Generation
  • Simulation Results
Target Groups
  • Scientists and students in the field of financial mathematics, quantitative finance and banking
  • Practitioners in the field of risk management, rating agencies and regulators
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.

Keywords

German covered bonds Pfandbrief model Quantitative risk analysis Bank default Cover pool default Overindebtedness and illiquidity Multi-period simulation model Default risk model Credit risk model

Authors and affiliations

  • Manuela Spangler
    • 1
  1. 1.Institute of Mathematics, Business MathematicsUniversity of AugsburgAugsburgGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-658-23915-2
  • Copyright Information Springer Fachmedien Wiesbaden GmbH, part of Springer Nature 2018
  • Publisher Name Springer Spektrum, Wiesbaden
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-658-23914-5
  • Online ISBN 978-3-658-23915-2
  • Series Print ISSN 2523-7926
  • Series Online ISSN 2523-7934
  • Buy this book on publisher's site
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