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Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model: BestMasters

Autor Jeffry Straßer
en Limba Engleză Paperback – 3 feb 2014
​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.
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Specificații

ISBN-13: 9783658049027
ISBN-10: 3658049022
Pagini: 136
Ilustrații: XVII, 116 p. 19 illus.
Dimensiuni: 148 x 210 x 7 mm
Greutate: 0.19 kg
Ediția:2014
Editura: Springer Fachmedien Wiesbaden
Colecția Springer Gabler
Seria BestMasters

Locul publicării:Wiesbaden, Germany

Public țintă

Research

Cuprins

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.

Notă biografică

Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme “Quantitative Asset and Risk Management”.

Textul de pe ultima copertă

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.
 
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  
 
 Target Groups
  • 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”.

Caracteristici

Study in the field of economic sciences Includes supplementary material: sn.pub/extras