Jeffry Straßer
Integrated Risk Management of Non-Maturing Accounts
Practical Application and Testing of a Dynamic Replication Model
Paperback Engels 2014 2014e druk 9783658049027Levertijd ± 9 werkdagen
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Samenvatting
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.
Specificaties
ISBN13:9783658049027
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:116
Uitgever:Springer Fachmedien Wiesbaden
Druk:2014
Hoofdrubriek:Algemeen management, Algemeen management, Financieel management, Inkoop en logistiek, IT-management / ICT, Organisatiekunde
Serie:BestMasters
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