Integrated Risk Management of Non-Maturing Accounts

Name: Integrated Risk Management of Non-Maturing Accounts
Author: Jeffry Straßer

Practical Application and Testing of a Dynamic Replication Model

Paperback Engels 2014 2014e druk 9783658049027

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Samenvatting

Customer accounts that neither have a fixed maturity nor a fixed interest rate represent a substantial part of a consumer bank’s funding. The modelling for their risk management and pricing is a challenging yet crucial task in today’s asset/liability management, with increasing computational power allowing for new approaches. Jeffry Straßer outlines an implementation of a state-of-the-art dynamic replication model in detail. A case study with recent data supports the expected superiority of the model. Additionally, it provides tangible recommendations for model specifications derived from practical and mathematical consideration, as well as empirical findings. Practitioners will appreciate the comprehensive programming code attached.

Specificaties

ISBN13:9783658049027

Taal:Engels

Bindwijze:paperback

Aantal pagina's:116

Uitgever:Springer Fachmedien Wiesbaden

Druk:2014

Hoofdrubriek:Financieel management, Algemeen management, Organisatiekunde

Serie:BestMasters

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Inhoudsopgave

Modelling of risk factors.- Setting up a multistage stochastic program.- Model output and performance analysis.- Full program code for all described steps in open-source statistical programming language R.