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Integrated Risk Management of Non-Maturing Accounts

Practical Application and Testing of a Dynamic Replication Model

Jeffry Straßer (Autor)

Buch | Softcover

XVII, 116 Seiten

2014 | 2014
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-04902-7 (ISBN)

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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”.

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.

Erscheint lt. Verlag	3.2.2014
Reihe/Serie	BestMasters
Zusatzinfo	XVII, 116 p. 19 illus.
Verlagsort	Wiesbaden
Sprache	englisch
Maße	148 x 210 mm
Gewicht	188 g
Themenwelt	Mathematik / Informatik ► Informatik
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
Schlagworte	Funds Transfer Pricing • Multistage Stochastic Program • Non-Maturing Accounts • Replicating Portfolio • R Programming
ISBN-10	3-658-04902-2 / 3658049022
ISBN-13	978-3-658-04902-7 / 9783658049027
Zustand	Neuware