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024 7 $a10.1007/978-3-658-04903-4
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035   $a(EBL)1698470
035   $a(OCoLC)881162017
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035   $a(PQKBTitleCode)TC0001185833
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035   $a(DE-He213)978-3-658-04903-4
035   $a(PPN)176124195
035   $a(EXLCZ)992550000001199630
100   $a20140123d2014      u|         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aIntegrated Risk Management of Non-Maturing Accounts $ePractical Application and Testing of a Dynamic Replication Model /$fby Jeffry Straßer
205   $a1st ed. 2014.
210  1$aWiesbaden :$cSpringer Fachmedien Wiesbaden :$cImprint: Springer Gabler,$d2014.
215   $a1 online resource (127 p.)
225 1 $aBestMasters,$x2625-3577
300   $aDescription based upon print version of record.
311   $a3-658-04902-2 
320   $aIncludes bibliographical references.
327   $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.
330   $aCustomer accounts that neither have a fixed maturity nor a fixed interest rate represent a substantial part of a consumer bank?s funding. The modelling for their risk management and pricing is a challenging yet crucial task in today?s asset/liability management, with increasing computational power allowing for new approaches. Jeffry Straßer outlines an implementation of a state-of-the-art dynamic replication model in detail. A case study with recent data supports the expected superiority of the model. Additionally, it provides tangible recommendations for model specifications derived from practical and mathematical consideration, as well as empirical findings. Practitioners will appreciate the comprehensive programming code attached.   Contents Modelling of risk factors Setting up a multistage stochastic program Model output and performance analysis Full program code for all described steps in open-source statistical programming language R      Target Groups Researchers and students in the field of bank (risk) management, statistics and business informatics Practitioners in bank management, bank risk management, and bank regulation   The Author Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme ?Quantitative Asset and Risk Management?.
410  0$aBestMasters,$x2625-3577
606   $aBusiness
606   $aManagement science
606   $aFinance
606   $aInformation technology
606   $aBusiness?Data processing
606   $aOperations research
606   $aDecision making
606   $aBusiness and Management, general$3https://scigraph.springernature.com/ontologies/product-market-codes/500000
606   $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000
606   $aIT in Business$3https://scigraph.springernature.com/ontologies/product-market-codes/522000
606   $aOperations Research/Decision Theory$3https://scigraph.springernature.com/ontologies/product-market-codes/521000
615  0$aBusiness.
615  0$aManagement science.
615  0$aFinance.
615  0$aInformation technology.
615  0$aBusiness?Data processing.
615  0$aOperations research.
615  0$aDecision making.
615 14$aBusiness and Management, general.
615 24$aFinance, general.
615 24$aIT in Business.
615 24$aOperations Research/Decision Theory.
676   $a332.1068
676   $a332.1068/1
676   $a332.10681
700   $aStraßer$b Jeffry$4aut$4http://id.loc.gov/vocabulary/relators/aut$01057888
906   $aBOOK
912   $a9910298523603321
996   $aIntegrated Risk Management of Non-Maturing Accounts$92495378
997   $aUNINA