Integrated Risk Management Of Nonmaturing Accounts Practical Application And Testing Of A Dynamic Replication Model 1st Edition Jeffry Straer Auth by Jeffry Straßer (auth.) 9783658049027, 9783658049034, 3658049022, 3658049030 instant download after payment.

​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.