Integrated Risk Management of Non-Maturing Accounts: Practical Application And Testing Of A Dynamic Replication Model: Practical Application And Testing

byJeffry Stra

Paperback | February 3, 2014

Integrated Risk Management of Non-Maturing Accounts: Practical Application And Testing Of A Dynamic Replication Model: Practical Application And Testing by Jeffry Stra
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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.
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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Title:Integrated Risk Management of Non-Maturing Accounts: Practical Application And Testing Of A Dynamic...Format:PaperbackProduct dimensions:116 pages, 21 X 14.8 X 0.01 inShipping dimensions:116 pages, 21 X 14.8 X 0.01 inPublished:February 3, 2014Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3658049022

ISBN - 13:9783658049027

Appropriate for ages: All ages

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