Evaluation of approaches for managing non-maturing accounts (Phase 1)
Type
consulting project
Start Date
December 1, 2004
End Date
March 31, 2005
Status
completed
Keywords
Multistage Stochastic Programming
Asset & Liability Management
Risk Management
Non-Maturing Accounts
Term structure model (parameter estimation)
Description
The performance of dynamic replication strategies for the management of non-maturing account positions in a bank's balance is investigated and compared to traditional approaches. A multistage stochastic programming model is used to determine how maturing tranches are reinvested. The project is made in cooperation with a major Swiss bank.
Leader contributor(s)
Funder
Method(s)
Multistage Stochastic Programming.
Division(s)
Eprints ID
7272