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.
Model output and performance analysis
Full program code for all described steps in open-source statistical programming language R.
Modelling of risk factors
Setting up a multistage stochastic programModel output and performance analysis
Full program code for all described steps in open-source statistical programming language R.
Straßer, Jeffry
| ISBN | 978-3-658-04902-7 |
|---|---|
| Article number | 9783658049027 |
| Media type | Book |
| Edition number | 2014 |
| Copyright year | 2014 |
| Publisher | Springer, Berlin |
| Length | XVII, 116 pages |
| Illustrations | XVII, 116 p. 19 illus. |
| Language | English |
