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Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model - BestMasters Jeffry Strasser
Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model - BestMasters
Jeffry Strasser
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.
134 pages, 19 black & white illustrations, 11 black & white tables, biography