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Integrated Risk Management of Non-Maturing Accounts
Jeffry Strasser
€ 76.22
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Description for Integrated Risk Management of Non-Maturing Accounts
Paperback. Series: BestMasters. Num Pages: 133 pages, 19 black & white illustrations, 11 black & white tables, biography. BIC Classification: KFF; KJQ; KJT. Category: (P) Professional & Vocational. Dimension: 210 x 148 x 8. Weight in Grams: 188.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
2014
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
133
Condition
New
Series
BestMasters
Number of Pages
116
Place of Publication
, Germany
ISBN
9783658049027
SKU
V9783658049027
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Jeffry Strasser
Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme “Quantitative Asset and Risk Management”.
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