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Více informací o knize Integrated Risk Management of Non-Maturing Accounts

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Anotace knihy

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.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Business & management Operational research

• Plný název: Integrated Risk Management of Non-Maturing Accounts
• Podnázev: Practical Application and Testing of a Dynamic Replication Model
• Autor: Jeffry Straßer
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 116
• EAN: 9783658049027
• ISBN: 3658049022
• ID: 02433665
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 1856 g
• Rozměry: 210 × 148 × 8 mm
• Datum vydání: 23. January 2014

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