BestMasters: Practical Application and Testing of a Dynamic Replication Model

Straßer, Jeffry

​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.

Details

Published by: Springer Gabler

Publication Date: 2014-02-03

Format: Paperback

ISBN-13: 9783658049027

DOI: 10.1007/978-3-658-04903-4

Dimensions: 210cm x148cm

Pages: 116