000 03237nam a22004935i 4500
001 978-3-658-04903-4
003 DE-He213
005 20140220082524.0
007 cr nn 008mamaa
008 140123s2014 gw | s |||| 0|eng d
020 _a9783658049034
_9978-3-658-04903-4
024 7 _a10.1007/978-3-658-04903-4
_2doi
050 4 _aHF4999.2-6182
050 4 _aHD28-70
072 7 _aKJ
_2bicssc
072 7 _aBUS042000
_2bisacsh
082 0 4 _a650
_223
100 1 _aStraßer, Jeffry.
_eauthor.
245 1 0 _aIntegrated Risk Management of Non-Maturing Accounts
_h[electronic resource] :
_bPractical Application and Testing of a Dynamic Replication Model /
_cby Jeffry Straßer.
264 1 _aWiesbaden :
_bSpringer Fachmedien Wiesbaden :
_bImprint: Springer Gabler,
_c2014.
300 _aXVII, 116 p. 19 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aBestMasters
505 0 _aModelling 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.
520 _aCustomer 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”.
650 0 _aEconomics.
650 0 _aOperations research.
650 0 _aManagement information systems.
650 1 4 _aEconomics/Management Science.
650 2 4 _aBusiness/Management Science, general.
650 2 4 _aFinance/Investment/Banking.
650 2 4 _aBusiness Information Systems.
650 2 4 _aOperation Research/Decision Theory.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783658049027
830 0 _aBestMasters
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-658-04903-4
912 _aZDB-2-BHS
999 _c93643
_d93643