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020 _a9783658049034
_9978-3-658-04903-4
024 7 _a10.1007/978-3-658-04903-4
_2doi
035 _ato000545333
040 _aSpringer
_cSpringer
_dRU-ToGU
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.
_9453513
245 1 0 _aIntegrated Risk Management of Non-Maturing Accounts
_helectronic resource
_bPractical Application and Testing of a Dynamic Replication Model /
_cby Jeffry Straßer.
260 _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
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.
_9135154
650 0 _aOperations research.
_9303058
650 0 _aManagement information systems.
_9299049
650 1 4 _aEconomics/Management Science.
_9247365
650 2 4 _aBusiness/Management Science, general.
_9247366
650 2 4 _aFinance/Investment/Banking.
_9416068
650 2 4 _aBusiness Information Systems.
_9299050
650 2 4 _aOperation Research/Decision Theory.
_9411428
710 2 _aSpringerLink (Online service)
_9143950
773 0 _tSpringer eBooks
830 0 _aBestMasters
_9567407
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-658-04903-4
912 _aZDB-2-BHS
999 _c403053