| 书目名称 | Integrated Risk Management of Non-Maturing Accounts |
| 副标题 | Practical Applicatio |
| 编辑 | Jeffry Straßer |
| 视频video | |
| 概述 | Study in the field of economic sciences.Includes supplementary material: |
| 丛书名称 | BestMasters |
| 图书封面 |  |
| 描述 | 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. |
| 出版日期 | Book 2014 |
| 关键词 | Funds Transfer Pricing; Multistage Stochastic Program; Non-Maturing Accounts; R Programming; Replicating |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-658-04903-4 |
| isbn_softcover | 978-3-658-04902-7 |
| isbn_ebook | 978-3-658-04903-4Series ISSN 2625-3577 Series E-ISSN 2625-3615 |
| issn_series | 2625-3577 |
| copyright | Springer Fachmedien Wiesbaden 2014 |
发表于 2025-3-21 17:18:18
