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Titlebook: Integrated Risk Management of Non-Maturing Accounts; Practical Applicatio Jeffry Stra?er Book 2014 Springer Fachmedien Wiesbaden 2014 Funds

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發(fā)表于 2025-3-21 17:18:18 | 只看該作者 |倒序瀏覽 |閱讀模式
書目名稱Integrated Risk Management of Non-Maturing Accounts
副標題Practical Applicatio
編輯Jeffry Stra?er
視頻videohttp://file.papertrans.cn/469/468632/468632.mp4
概述Study in the field of economic sciences.Includes supplementary material:
叢書名稱BestMasters
圖書封面Titlebook: Integrated Risk Management of Non-Maturing Accounts; Practical Applicatio Jeffry Stra?er Book 2014 Springer Fachmedien Wiesbaden 2014 Funds
描述?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 Stra?er 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.
出版日期Book 2014
關鍵詞Funds Transfer Pricing; Multistage Stochastic Program; Non-Maturing Accounts; R Programming; Replicating
版次1
doihttps://doi.org/10.1007/978-3-658-04903-4
isbn_softcover978-3-658-04902-7
isbn_ebook978-3-658-04903-4Series ISSN 2625-3577 Series E-ISSN 2625-3615
issn_series 2625-3577
copyrightSpringer Fachmedien Wiesbaden 2014
The information of publication is updating

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沙發(fā)
發(fā)表于 2025-3-21 22:03:52 | 只看該作者
Jeffry Stra?eref?hrlich; die Vorstandsmitglieder ergehen sich in Ressortstreitigkeiten, w?hrend sie die entscheidende Frage zu kl?ren haben, wie das Unternehmen bei den ver?nderten Bedingungen am Markt neu positioniert werden soll. Bei allen genannten Beispielen verh?lt es sich etwa so, als ob L?wen ihre Rangordn
板凳
發(fā)表于 2025-3-22 01:19:52 | 只看該作者
Integrated Risk Management of Non-Maturing AccountsPractical Applicatio
地板
發(fā)表于 2025-3-22 07:46:52 | 只看該作者
Setting up a Multistage Stochastic Program,sk factor models. Subsequently, future paths of the risk factors can be easily calculated, taking the stochastic factors from the scenario tree as input. To make the whole model framework computationally tractable, a certain complexity reduction technique will be applied to the MSP or more precisely to the scenario generation procedure.
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Setting up a Multistage Stochastic Program,the constraints of the optimization procedure. Once this is done, a scenario tree will be generated, which predefines the stochastic factors of the risk factor models. Subsequently, future paths of the risk factors can be easily calculated, taking the stochastic factors from the scenario tree as inp
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