Titlebook: Integrated Risk Management of Non-Maturing Accounts; Practical Applicatio Jeffry Stra?er Book 2014 Springer Fachmedien Wiesbaden 2014 Funds

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Model Output and Performance Analysis,y modelled replicating portfolio can then be included in risk management systems of the bank, especially in interest rate risk and liquidity risk management of NMAs. Furthermore, the yield of this portfolio can serve as the internal FTP for funds raised or products sold in the form of NMAs.

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https://doi.org/10.1007/978-3-658-04903-4Funds Transfer Pricing; Multistage Stochastic Program; Non-Maturing Accounts; R Programming; Replicating

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Analysing the Practical Problem,One of the major businesses and purposes of a bank is to act as an intermediary between savers and investors. It collects deposits on the one side and issues loans on the other side. Thus, a main source of income is the interest rate difference between interest paid to savers on the one hand and received from borrowers on the other hand.

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Conclusion and Outlook,The thesis gives a functioning example of how to structure an implementation of a dynamic model for the risk management and pricing of NMAs via the means of an MSP in the statistical programming language R. The latter is fully capable of carrying out all the necessary procedures from a statistical point of view.

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Integrated Risk Management of Non-Maturing Accounts978-3-658-04903-4Series ISSN 2625-3577 Series E-ISSN 2625-3615

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