Integrated risk management of non-maturing accounts [electronic resource] : practical application and testing of a dynamic replication model
| 000 | 00000nam u2200205 a 4500 | |
| 001 | 000046050070 | |
| 005 | 20201019162543 | |
| 006 | m d | |
| 007 | cr | |
| 008 | 201005s2014 gw a ob 001 0 eng d | |
| 020 | ▼a 9783658049034 | |
| 040 | ▼a 211009 ▼c 211009 ▼d 211009 | |
| 050 | 4 | ▼a HF4999.2-6182 |
| 082 | 0 4 | ▼a 658.155 ▼2 23 |
| 084 | ▼a 658.155 ▼2 DDCK | |
| 090 | ▼a 658.155 | |
| 100 | 1 | ▼a Straßer, Jeffry. |
| 245 | 1 0 | ▼a Integrated risk management of non-maturing accounts ▼h [electronic resource] : ▼b practical application and testing of a dynamic replication model / ▼c Jeffry Straßer. |
| 260 | ▼a Wiesbaden : ▼b Springer Fachmedien Wiesbaden : ▼b Imprint: Springer Gabler, ▼c 2014. | |
| 300 | ▼a 1 online resource (xvii, 116 p.) : ▼b ill. | |
| 490 | 1 | ▼a BestMasters |
| 500 | ▼a Title from e-Book title page. | |
| 504 | ▼a Includes bibliographical references and index. | |
| 505 | 0 | ▼a 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. |
| 520 | ▼a 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. | |
| 530 | ▼a Issued also as a book. | |
| 538 | ▼a Mode of access: World Wide Web. | |
| 650 | 0 | ▼a Risk management. |
| 650 | 0 | ▼a Corporations ▼x Finance. |
| 830 | 0 | ▼a BestMasters. |
| 856 | 4 0 | ▼u https://oca.korea.ac.kr/link.n2s?url=http://dx.doi.org/10.1007/978-3-658-04903-4 |
| 945 | ▼a KLPA | |
| 991 | ▼a E-Book(소장) |
소장정보
| No. | 소장처 | 청구기호 | 등록번호 | 도서상태 | 반납예정일 | 예약 | 서비스 |
|---|---|---|---|---|---|---|---|
| No. 1 | 소장처 중앙도서관/e-Book 컬렉션/ | 청구기호 CR 658.155 | 등록번호 E14034930 | 도서상태 대출불가(열람가능) | 반납예정일 | 예약 | 서비스 |