Integrated Risk Management of Non-Maturing Accounts: Practical Application and T

Description: Integrated Risk Management of Non-Maturing Accounts by Jeffry Straßer Customer accounts that neither have a fixed maturity nor a fixed interest rate represent a substantial part of a consumer banks funding. The modelling for their risk management and pricing is a challenging yet crucial task in todays asset/liability management, with increasing computational power allowing for new approaches. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description Customer accounts that neither have a fixed maturity nor a fixed interest rate represent a substantial part of a consumer banks funding. The modelling for their risk management and pricing is a challenging yet crucial task in todays 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. Back Cover Customer accounts that neither have a fixed maturity nor a fixed interest rate represent a substantial part of a consumer banks funding. The modelling for their risk management and pricing is a challenging yet crucial task in todays asset/liability management, with increasing computational power allowing for new approaches. Jeffry Stra Author Biography Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme "Quantitative Asset and Risk Management". 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. Feature Study in the field of economic sciences Details ISBN3658049022 Short Title INTEGRATED RISK MGMT OF NON-MA Edition Description 2014 Language English ISBN-10 3658049022 ISBN-13 9783658049027 Media Book Format Paperback Year 2014 Pages 116 Subtitle Practical Application and Testing of a Dynamic Replication Model DOI 10.1007/978-3-658-04903-4 Place of Publication Dordrecht Imprint Springer Gabler Country of Publication Germany Author Jeffry Straßer Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Publication Date 2014-02-03 DEWEY 332.10681 Illustrations 19 Illustrations, black and white; XVII, 116 p. 19 illus. Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:96378187;

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