Advertisement

Integrated Risk Management of Non-Maturing Accounts

Practical Application and Testing of a Dynamic Replication Model

  • Jeffry Straßer

Part of the BestMasters book series (BEST)

Table of contents

  1. Front Matter
    Pages I-XVII
  2. Jeffry Straßer
    Pages 1-4
  3. Jeffry Straßer
    Pages 5-17
  4. Jeffry Straßer
    Pages 18-41
  5. Jeffry Straßer
    Pages 42-60
  6. Jeffry Straßer
    Pages 61-80
  7. Jeffry Straßer
    Pages 81-83
  8. Back Matter
    Pages 85-116

About this book

Introduction

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”.

Keywords

Funds Transfer Pricing Multistage Stochastic Program Non-Maturing Accounts R Programming Replicating Portfolio

Authors and affiliations

  • Jeffry Straßer
    • 1
  1. 1.University of Applied Sciences bfi ViennaViennaAustria

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-658-04903-4
  • Copyright Information Springer Fachmedien Wiesbaden 2014
  • Publisher Name Springer Gabler, Wiesbaden
  • eBook Packages Business and Economics
  • Print ISBN 978-3-658-04902-7
  • Online ISBN 978-3-658-04903-4
  • Buy this book on publisher's site
Industry Sectors
Pharma
Automotive
Chemical Manufacturing
Biotechnology
Finance, Business & Banking
Consumer Packaged Goods