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Integrated Risk Management of Non-Maturing Accounts

Practical Application and Testing of a Dynamic Replication Model

  • Book
  • © 2014

Overview

Authors:
  1. Jeffry Straßer

    1. University of Applied Sciences bfi Vienna, Vienna, Austria

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  • Study in the field of economic sciences
  • Includes supplementary material: sn.pub/extras

Part of the book series: BestMasters (BEST)

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Table of contents (6 chapters)

  1. Front Matter

    Pages I-XVII
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  2. Introduction

    • Jeffry Straßer
    Pages 1-4

  3. Analysing the Practical Problem

    • Jeffry Straßer
    Pages 5-17

  4. Modelling Main Risk Factors

    • Jeffry Straßer
    Pages 18-41

  5. Setting up a Multistage Stochastic Program

    • Jeffry Straßer
    Pages 42-60

  6. Model Output and Performance Analysis

    • Jeffry Straßer
    Pages 61-80

  7. Conclusion and Outlook

    • Jeffry Straßer
    Pages 81-83

  8. Back Matter

    Pages 85-116
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Keywords

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.

Authors and Affiliations

  • University of Applied Sciences bfi Vienna, Vienna, Austria

    Jeffry Straßer

About 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”.

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