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008 | 160915s2014 gw | s |||| 0|eng d | ||
020 |
_a9783658049034 _9978-3-658-04903-4 |
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024 | 7 |
_a10.1007/978-3-658-04903-4 _2doi |
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035 | _ato000545333 | ||
040 |
_aSpringer _cSpringer _dRU-ToGU |
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050 | 4 | _aHF4999.2-6182 | |
050 | 4 | _aHD28-70 | |
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_aKJ _2bicssc |
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_aBUS042000 _2bisacsh |
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_a650 _223 |
100 | 1 |
_aStraßer, Jeffry. _eauthor. _9453513 |
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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. |
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300 |
_aXVII, 116 p. 19 illus. _bonline resource. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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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 |
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650 | 0 |
_aOperations research. _9303058 |
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650 | 0 |
_aManagement information systems. _9299049 |
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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 |
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773 | 0 | _tSpringer eBooks | |
830 | 0 |
_aBestMasters _9567407 |
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856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-658-04903-4 |
912 | _aZDB-2-BHS | ||
999 | _c403053 |