Title: Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model (BestMasters)
Publisher: Springer Gabler
Publication Date: 2014
Language: English
ISBN 10: 3658049022
ISBN 13: 9783658049027
Binding: Soft cover
Condition: New

About this title

Synopsis

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 Stra�er 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.

About the Author

Jeffry Stra�er MA obtained his master�s degree at the University of Applied Sciences bfi Vienna in the programme “Quantitative Asset and Risk Management”.

"About this title" may belong to another edition of this title.

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