By Jeffry Straßer
ISBN-10: 3658049022
ISBN-13: 9783658049027
ISBN-10: 3658049030
ISBN-13: 9783658049034
Customer bills that neither have a hard and fast adulthood nor a hard and fast rate of interest characterize a considerable a part of a client bank’s investment. The modelling for his or her chance administration and pricing is a demanding but the most important activity in today’s asset/liability administration, with expanding computational strength bearing in mind new methods. Jeffry Straßer outlines an implementation of a cutting-edge dynamic replication version intimately. A case learn with contemporary info helps the anticipated superiority of the version. also, it presents tangible concepts for version requirements derived from sensible and mathematical attention, in addition to empirical findings. Practitioners will relish the great programming code attached.
Read Online or Download Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model PDF
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Extra info for Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model
Sample text
125 These should be available in any bank’s risk management system, as swaps are the standard instrument for hedging interest rate risk. However, the data for this thesis are extracted directly from a commercial data provider and represent ask-quotations of Euro-Swap rates. 1 for an explanation. 127 A similar approach is chosen by Paraschiv/Frauendorfer (2011), p. 28 31 implemented as part of the MASS128 package for this purpose. However, to be able to use this function the data has to be provided in the correct way.
42 J. 1007/978-3-658-04903-4_4, © Springer Fachmedien Wiesbaden 2014 x Length of time horizon The choice of the time horizon on which the replicating portfolio is optimized and therefore for hedging decisions is an important input factor156 and ranges from eight157 up to 30158 years in scientific literature (static models). Furthermore, it is suggested that this period covers at least one economic cycle159. However, for simulation approaches it might be difficult to implement longer term models.
After each stage a scenario set is created describing future paths of the risk factors. As this scenario set is added to each of the previous outcomes, the result is a scenario tree with an exponentially rising number of nodes for each new stage. As a consequence, the number of scenarios per scenario set needs to be kept as small as possible to guarantee implementability63. 5. g. minimizing the absolute deviation from the NMA costs plus a margin or just a maximization of the overall income over the simulation period.
Integrated Risk Management of Non-Maturing Accounts: Practical Application and Testing of a Dynamic Replication Model by Jeffry Straßer
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