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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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.…

Taschenbuch. Zustand: Neu. Integrated Risk Management of Non-Maturing Accounts | Practical Application and Testing of a Dynamic Replication Model | Jeffry Straßer | Taschenbuch | xvii | Englisch | 2014 | Springer VS | EAN 9783658049027 | Verantwortliche Person für die EU: Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.…

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Taschenbuch. Zustand: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 136 pp. Englisch.…

Taschenbuch. Zustand: Neu. This item is printed on demand - Print on Demand Titel. Neuware -¿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.Springer-Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 136 pp. Englisch.…