Integrated Risk Management of Non-Maturing Accounts (eBook)

Jeffry Straßer MA obtained his master´s degree at the University of Applied Sciences bfi Vienna in the programme “Quantitative Asset and Risk Management”.

Foreword 6
Contents 7
List of Figures 9
List of Tables 10
List of Appendices 11
List of Abbreviations 12
Abstract 13
1 Introduction 14
1.1 Topic and its Relevance 14
1.2 Formulating the Research Questions 15
1.3 State of the Literature 15
1.4 Methodological Approach 16
1.5 Structure of the Thesis 16
1.6 Definitions and Assumptions 16
2 Analysing the Practical Problem 18
2.1 Expectations and Uses for the Model 19
2.2 Approaches in Literature and Banking Practise 20
2.3 Implications for the Model 28
2.4 Applied Model 29
3 Modelling Main Risk Factors 31
3.1 Market Rates 31
3.1.1 Term Structure Model 34
3.1.2 Data 36
3.1.3 Calibration 38
3.2 Client Rates 39
3.2.1 Pass-Through Model 41
3.2.2 Data 44
3.2.3 Calibration 44
3.3 Total Volumes of Non-Maturing Accounts 47
3.3.1 Volume Model 49
3.3.2 Data 51
3.3.3 Calibration 51
4 Setting up a Multistage Stochastic Program 55
4.1 Replicating Portfolio Methodology 55
4.1.1 Optimization and Investment Policy 59
4.1.2 Yields and Data 61
4.2 Optimization Problem 61
4.2.1 Notation 63
4.2.2 Defining Constraints 64
4.2.3 Defining the Objective Criterion 67
4.2.4 Scenario Generation 67
4.3 Implementation of the Program 72
5 Model Output and Performance Analysis 74
5.1 Data Characteristics and Methodology 74
5.2 Comparing Static and Dynamic Model 76
5.2.1 Static Model 76
5.2.2 Results 77
5.2.3 Model Defects 80
5.3 Comparing Different Objective Criteria 82
5.4 Comparing Different Numbers of Stages 84
5.5 Comparing Different Numbers of Scenarios 86
5.6 Comparing Different Margin Levels 88
5.7 Other Means of Validation 91
5.8 Computational Performance 92
6 Conclusion and Outlook 94
7 Bibliography 97
Appendix 102