Coverart for item
The Resource Integrated Risk Management of Non-Maturing Accounts : Practical Application and Testing of a Dynamic Replication Model, by Jeffry Straßer, (electronic resource)

Integrated Risk Management of Non-Maturing Accounts : Practical Application and Testing of a Dynamic Replication Model, by Jeffry Straßer, (electronic resource)

Label
Integrated Risk Management of Non-Maturing Accounts : Practical Application and Testing of a Dynamic Replication Model
Title
Integrated Risk Management of Non-Maturing Accounts
Title remainder
Practical Application and Testing of a Dynamic Replication Model
Statement of responsibility
by Jeffry Straßer
Creator
Author
Subject
Language
eng
Summary
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. 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”.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Straßer, Jeffry
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
1XZMf_23c5g
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • BestMasters,
  • Springer eBooks.
http://library.link/vocab/subjectName
  • Business
  • Management science
  • Finance
  • Information technology
  • Business—Data processing
  • Operations research
  • Decision making
Label
Integrated Risk Management of Non-Maturing Accounts : Practical Application and Testing of a Dynamic Replication Model, by Jeffry Straßer, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1007/978-3-658-04903-4
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
978-3-658-04903-4
Dimensions
unknown
Edition
1st ed. 2014.
Extent
1 online resource (XVII, 116 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658049034
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-658-04903-4
Other physical details
19 illustrations
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)869467408
Label
Integrated Risk Management of Non-Maturing Accounts : Practical Application and Testing of a Dynamic Replication Model, by Jeffry Straßer, (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1007/978-3-658-04903-4
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
978-3-658-04903-4
Dimensions
unknown
Edition
1st ed. 2014.
Extent
1 online resource (XVII, 116 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9783658049034
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-658-04903-4
Other physical details
19 illustrations
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)869467408

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