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Author Strasser, Jeffry

Title Integrated risk management of non-maturing accounts : practical application and testing of a dynamic replication model / Jeffry Strasser
Published Wiesbaden : Springer Gabler, [2014]
©2014

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Description 1 online resource (xvii, 116 pages) : illustrations
Series BestMasters
BestMasters.
Contents Analysing the practical problem -- 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 Target Groups]
Summary 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. Researchers and students in the field of bank (risk) management, statistics and business informatics Practitioners in bank management, bank risk management, and bank regulation The Author Jeffry Strasser MA obtained his master's degree at the University of Applied Sciences bfi Vienna in the programme 'Quantitative Asset and Risk Management'
Bibliography Includes bibliographical references (pages 85-89)
Notes Print version record; title from PDF title page (viewed on January 30, 2014)
Subject Asset-liability management -- Computer simulation
Asset-liability management.
Banks and banking -- Risk management -- Computer simulation
Banks and banking -- Risk management
BUSINESS & ECONOMICS -- Industrial Management.
BUSINESS & ECONOMICS -- Management.
BUSINESS & ECONOMICS -- Management Science.
BUSINESS & ECONOMICS -- Organizational Behavior.
Asset-liability management
Genre/Form dissertations.
Academic theses
Academic theses.
Thèses et écrits académiques.
Form Electronic book
ISBN 9783658049034
3658049030
3658049022
9783658049027