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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 computational power a...

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Main Author: Straßer, Jeffry. (Author, http://id.loc.gov/vocabulary/relators/aut)
Corporate Author: SpringerLink (Online service)
Language:English
Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
Edition:1st ed. 2014.
Series:BestMasters,
Subjects:
Business.
Management science.
Finance.
Information technology.
Business—Data processing.
Operations research.
Decision making.
Business and Management, general.
Finance, general.
IT in Business.
Operations Research/Decision Theory.
Online Access:https://doi.org/10.1007/978-3-658-04903-4
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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