ENGLISH

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

By Jeffry Straßer (auth.)

Book information

Publisher
Gabler Verlag
Year
2014
ISBN
978-3-658-04902-7, 978-3-658-04903-4
DOI
10.1007/978-3-658-04903-4
Language
english
Format
PDF
Filesize
2 MB (2023773 bytes)
Series
BestMasters
Edition
1
Pages
116\127
Time added
2014-02-12 18:00:00
Business/Management Sciencegeneral; Finance/Investment/Banking; Business Info

Description

​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.

Similar books