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Beschreibung
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.
Practical Application and Testing of a Dynamic Replication Model
Details
| Verlag | Springer Fachmedien Wiesbaden GmbH |
| Ersterscheinung | 03. Februar 2014 |
| Maße | 21 cm x 14.8 cm |
| Gewicht | 1856 Gramm |
| Format | Softcover |
| ISBN-13 | 9783658049027 |
| Auflage | 2014 |
| Seiten | 116 |
Schlagwörter
Betriebswirtschaft und Management, Business and Management, Business and Management - general, Finance - general, Financial Economics, Finanzenwesen und Finanzindustrie, IT in Business, Management: Entscheidungstheorie, Operations Research and Decision Theory, Operations Research/Decision Theory, Unternehmensanwendungen, Unternehmensforschung, Wirtschaftsmathematik und -informatik - IT-Management
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