Interest rate risk hedging of bank balance (Phase 1)
Type
industry project
Start Date
April 1, 2004
End Date
December 31, 2004
Status
completed
Keywords
Multistage Stochastic Optimization
Interest rate derivatives
Interest rate risk hedging
Term structure model (parameter estimation)
Description
Aim: Interest rate risk hedging of an entire bank balance with multistage stochastic optimizations techniques, based on parameter estimation of a term structure model.
Leader contributor(s)
Member contributor(s)
Grollmann, Manfred
Haeusler, Frank
Funder
Method(s)
Multistage Stochastic Optimization
Valuation of interest rate derivatives
Principal
Zürcher Kantonalbank
Division(s)
Eprints ID
7269