عنوان
پدید آورنده
موضوع
رده
HG5095
HG5095
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
3658239158
(Number (ISBN
3658239166
(Number (ISBN
9783658239152
(Number (ISBN
9783658239169
Erroneous ISBN
365823914X
Erroneous ISBN
9783658239145
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Modelling German covered bonds /
General Material Designation
[Book]
First Statement of Responsibility
Manuela Spangler.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Wiesbaden :
Name of Publisher, Distributor, etc.
Springer Spektrum,
Date of Publication, Distribution, etc.
2018.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (xv, 266 pages) :
Other Physical Details
illustrations
SERIES
Series Title
Mathematische Optimierung und Wirtschaftsmathematik | Mathematical Optimization and Economathematics,
ISSN of Series
2523-7926
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references.
CONTENTS NOTE
Text of Note
Introduction -- Pfandbrief characteristics -- Credit risk models : a literature review -- The pfandbrief model -- Model calibration and scenario generation -- Simulation results -- Conclusion and outlook.
0
SUMMARY OR ABSTRACT
Text of Note
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 EDITION IN ANOTHER MEDIUM
Title
Modelling German covered bonds.
International Standard Book Number
9783658239145
TOPICAL NAME USED AS SUBJECT
Covered bonds-- Mathematical models.
Finance.
Financial engineering.
Risk management.
DEWEY DECIMAL CLASSIFICATION
Number
332
.
63/23
Edition
23
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HG5095
PERSONAL NAME - PRIMARY RESPONSIBILITY
Spangler, Manuela
ORIGINATING SOURCE
Date of Transaction
20200823181829.0
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
