Integrated Risk Management of Non-Maturing Accounts
ISBN:
978-3-658-04902-7
Auflage:
2014
Verlag:
Springer Fachmedien Wiesbaden GmbH
Land des Verlags:
Deutschland
Erscheinungsdatum:
03.02.2014
Reihe:
BestMasters
Format:
Softcover
Seitenanzahl:
116
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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.
Biografische Anmerkung
Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme “Quantitative Asset and Risk Management”.
