Integrated Risk Management of Non-Maturing Accounts
Practical Application and Testing of a Dynamic Replication Model
E-Book
Integrated Risk Management of Non-Maturing Accounts
Practical Application and Testing of a Dynamic Replication Model
?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.
Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme 'Quantitative Asset and Risk Management'.
Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme 'Quantitative Asset and Risk Management'.
1;Foreword;6 2;Contents;7 3;List of Figures;9 4;List of Tables;10 5;List of Appendices;11 6;List of Abbreviations;12 7;Abstract;13 8;1 Introduction;14 8.1;1.1 Topic and its Relevance;14 8.2;1.2 Formulating the Research Questions;15 8.3;1.3 State of the Literature;15 8.4;1.4 Methodological Approach;16 8.5;1.5 Structure of the Thesis;16 8.6;1.6 Definitions and Assumptions;16 9;2 Analysing the Practical Problem;18 9.1;2.1 Expectations and Uses for the Model;19 9.2;2.2 Approaches in Literature and Banking Practise;20 9.3;2.3 Implications for the Model;28 9.4;2.4 Applied Model;29 10;3 Modelling Main Risk Factors;31 10.1;3.1 Market Rates;31 10.1.1;3.1.1 Term Structure Model;34 10.1.2;3.1.2 Data;36 10.1.3;3.1.3 Calibration;38 10.2;3.2 Client Rates;39 10.2.1;3.2.1 Pass-Through Model;41 10.2.2;3.2.2 Data;44 10.2.3;3.2.3 Calibration;44 10.3;3.3 Total Volumes of Non-Maturing Accounts;47 10.3.1;3.3.1 Volume Model;49 10.3.2;3.3.2 Data;51 10.3.3;3.3.3 Calibration;51 11;4 Setting up a Multistage Stochastic Program;55 11.1;4.1 Replicating Portfolio Methodology;55 11.1.1;4.1.1 Optimization and Investment Policy;59 11.1.2;4.1.2 Yields and Data;61 11.2;4.2 Optimization Problem;61 11.2.1;4.2.1 Notation;63 11.2.2;4.2.2 Defining Constraints;64 11.2.3;4.2.3 Defining the Objective Criterion;67 11.2.4;4.2.4 Scenario Generation;67 11.3;4.3 Implementation of the Program;72 12;5 Model Output and Performance Analysis;74 12.1;5.1 Data Characteristics and Methodology;74 12.2;5.2 Comparing Static and Dynamic Model;76 12.2.1;5.2.1 Static Model;76 12.2.2;5.2.2 Results;77 12.2.3;5.2.3 Model Defects;80 12.3;5.3 Comparing Different Objective Criteria;82 12.4;5.4 Comparing Different Numbers of Stages;84 12.5;5.5 Comparing Different Numbers of Scenarios;86 12.6;5.6 Comparing Different Margin Levels;88 12.7;5.7 Other Means of Validation;91 12.8;5.8 Computational Performance;92 13;6 Conclusion and Outlook;94 14;7 Bibliography;97 15;Appendix;102
Straßer, Jeffry
| ISBN | 9783658049034 |
|---|---|
| Artikelnummer | 9783658049034 |
| Medientyp | E-Book - PDF |
| Auflage | 2. Aufl. |
| Copyrightjahr | 2014 |
| Verlag | Springer Gabler |
| Umfang | 127 Seiten |
| Sprache | Englisch |
| Kopierschutz | Digitales Wasserzeichen |
