BestMasters

Integrated Risk Management of Non-Maturing Accounts

Practical Application and Testing of a Dynamic Replication Model

Authors: Straßer, Jeffry

  • ​Study in the field of economic sciences

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eBook $69.99
price for USA (gross)
  • ISBN 978-3-658-04903-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-658-04902-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

​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.

About the authors

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

Table of contents (6 chapters)

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-658-04903-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-658-04902-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Integrated Risk Management of Non-Maturing Accounts
Book Subtitle
Practical Application and Testing of a Dynamic Replication Model
Authors
Series Title
BestMasters
Copyright
2014
Publisher
Gabler Verlag
Copyright Holder
Springer Fachmedien Wiesbaden
eBook ISBN
978-3-658-04903-4
DOI
10.1007/978-3-658-04903-4
Softcover ISBN
978-3-658-04902-7
Edition Number
1
Number of Pages
XVII, 116
Number of Illustrations and Tables
19 b/w illustrations
Topics