Integrated Risk Management of Non-Maturing Accounts

1. Front Matter

   Pages I-XVII

   PDF

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

   PDF

​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.

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

• University of Applied Sciences bfi Vienna, Vienna, Austria

  Jeffry Straßer

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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