Logo - springer
Slogan - springer

Springer Gabler - BWL | Integrated Risk Management of Non-Maturing Accounts

Integrated Risk Management of Non-Maturing Accounts

Practical Application and Testing of a Dynamic Replication Model

Series: BestMasters

Straßer, Jeffry

2014, XVII, 116 p. 19 illus.

Available Formats:
eBook
Information

Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.

You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.

After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.

 
$69.99

(net) price for USA

ISBN 978-3-658-04903-4

digitally watermarked, no DRM

Included Format: PDF

download immediately after purchase


learn more about Springer eBooks

add to marked items

Softcover
Information

Softcover (also known as softback) version.

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$89.99

(net) price for USA

ISBN 978-3-658-04902-7

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days


add to marked items

  • ​Study in the field of economic sciences

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.

 

Contents

  • 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

     

 

 Target Groups

  • Researchers and students in the field of bank (risk) management, statistics and business informatics
  • Practitioners in bank management, bank risk management, and bank regulation

 

The Author

Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme “Quantitative Asset and Risk Management”.

Content Level » Research

Keywords » Funds Transfer Pricing - Multistage Stochastic Program - Non-Maturing Accounts - R Programming - Replicating Portfolio

Related subjects » BWL - Finanzdienstleistungen - Operations Research - Wirtschaftsinformatik

Table of contents / Sample pages 

Popular Content within this publication 

 

Articles

Read this Book on Springerlink

Services for this book

New Book Alert

Get alerted on new Springer publications in the subject area of Business & Management Science.