Book 2014

Integrated Risk Management of Non-Maturing Accounts

Practical Application and Testing of a Dynamic Replication Model

Authors:

ISBN: 978-3-658-04902-7 (Print) 978-3-658-04903-4 (Online)

Table of contents (6 chapters)

  1. Front Matter

    Pages I-XVII

  2. No Access

    Chapter

    Pages 1-4

    Introduction

  3. No Access

    Chapter

    Pages 5-17

    Analysing the Practical Problem

  4. No Access

    Chapter

    Pages 18-41

    Modelling Main Risk Factors

  5. No Access

    Chapter

    Pages 42-60

    Setting up a Multistage Stochastic Program

  6. No Access

    Chapter

    Pages 61-80

    Model Output and Performance Analysis

  7. No Access

    Chapter

    Pages 81-83

    Conclusion and Outlook

  8. Back Matter

    Pages 85-116