Integrated Risk Management of Non-Maturing Accounts Practical Application and Testing of a Dynamic Replication Model /

• Main Author: Straßer, Jeffry (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
• Series: BestMasters
• Subjects: Business.; Management science.; Operations research.; Decision making.; Information technology.; Business > Data processing.; Finance.; Business and Management.; Business and Management, general.; Finance, general.; IT in Business.; Operation Research/Decision Theory.

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...

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.