Integrated Risk Management of Non-Maturing Accounts
Practical Application and Testing of a Dynamic Replication Model
Authors: Straßer, Jeffry
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- About this book
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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
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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)
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Introduction
Pages 1-4
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Analysing the Practical Problem
Pages 5-17
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Modelling Main Risk Factors
Pages 18-41
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Setting up a Multistage Stochastic Program
Pages 42-60
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Model Output and Performance Analysis
Pages 61-80
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Table of contents (6 chapters)
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Bibliographic Information
- Bibliographic Information
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- Book Title
- Integrated Risk Management of Non-Maturing Accounts
- Book Subtitle
- Practical Application and Testing of a Dynamic Replication Model
- Authors
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- Jeffry Straßer
- 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
- Series ISSN
- 2625-3577
- Edition Number
- 1
- Number of Pages
- XVII, 116
- Number of Illustrations
- 19 b/w illustrations
- Topics
