Integrated Risk Management of Non-M - E-book

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Integrated Risk Management Of Non-maturing Accounts - ENG

Practical Application And Testing Of A Dynamic Replication Model

Jeffry Straßer

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Sinopsis

ISBN:	9783658049034
Formato:	Page Fidelity
Idioma:	Inglés
Editorial:	Springer Nature
Tema:	Negocios y economía
Subtema:	Ciencia de la gestión
Año de publicación:	2014-01-23

â€‹Customer accounts that neither have a fixed maturity nor a fixed interest rate represent a substantial part of a consumer bank funding. The modelling for their risk management and pricing is a challenging yet crucial task in today asset/liability management, with increasing computational power allowing for new approaches. Jeffry StraÃŸer 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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