Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model - Couverture souple

Straßer, Jeffry

 
9783658049027: Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model
Couverture souple
ISBN 10 : 3658049022 ISBN 13 : 9783658049027
Editeur : Springer Gabler, 2014

Synopsis

​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.

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À propos de l'auteur

Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme "Quantitative Asset and Risk Management".

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer Gabler
Date d'édition
2014
Langue
anglais
ISBN 10 
3658049022
ISBN 13 
9783658049027
Reliure
Broché
Nombre de pages
136
Coordonnées du fabricant
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