?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.
| ISBN: | 9783658049027 |
| Publication date: | 3rd February 2014 |
| Author: | Jeffry Straer |
| Publisher: | Springer Gabler an imprint of Springer Fachmedien Wiesbaden |
| Format: | Paperback |
| Pagination: | 134 pages |
| Series: | BestMasters |
| Genres: |
Business and Management Management decision making Business mathematics and systems Operational research Finance and the finance industry Business applications |
?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.
Integrated Risk Management of Non-Maturing Accounts features in the following genres: Business and Management, Management decision making, Business mathematics and systems, Operational research, Finance and the finance industry, Business applications
Paperback. Not Available.
Integrated Risk Management of Non-Maturing Accounts was written by Jeffry Straer and published by Springer Gabler an imprint of Springer Fachmedien Wiesbaden
Integrated Risk Management of Non-Maturing Accounts has 134 pages
Yes it is part of BestMasters series