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

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

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 computation...

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Bibliographic Details
Published in:Springer eBooks
Main Author: Straßer, Jeffry (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
Series:BestMasters
Subjects:
Economics.
Operations research.
Management information systems.
Economics/Management Science.
Business/Management Science, general.
Finance/Investment/Banking.
Business Information Systems.
Operation Research/Decision Theory.
Online Access:http://dx.doi.org/10.1007/978-3-658-04903-4
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Table of Contents:
  • Modelling of risk factors
  • Setting up a multistage stochastic program
  • Model output and performance analysis
  • Full program code for all described steps in open-source statistical programming language R.

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