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Integrated Risk Management of Non-Maturing Accounts
Practical Application and Testing of a Dynamic Replication Model
eBook
Sofort lieferbar | Lieferzeit: Sofort lieferbar I
ISBN-13:
9783658049034
Veröffentl:
2014
Einband:
eBook
Seiten:
116
Autor:
Jeffry Straßer
Serie:
BestMasters
eBook Typ:
PDF
eBook Format:
Reflowable eBook
Kopierschutz:
Digital Watermark [Social-DRM]
Sprache:
Englisch
Beschreibung:
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 Straer 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.
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.
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.