Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model

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

Straßer, Jeffry

Paperback

Series: Bestmasters

Business GeneralInvesting & FinanceManagement

ISBN10: 3658049022
ISBN13: 9783658049027
Publisher: Springer Nature
Published: Feb 3 2014
Pages: 116
Weight: 0.41
Height: 0.32 Width: 5.83 Depth: 8.27
Language: English
​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.

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