University of St.Gallen
research platform alexandria
search projects
browse projects
après Personnes
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z
 
après Année
selon project

Management of Non-Maturing Deposits by Multistage Stochastic Programming

version abrégée Classic 'non-maturing accounts' like savings or variable-rate mortgages can represent a significant percentage in a banks? balance. The risk management of these accounts is complicated by the embedded withdrawal options that may be exercised by account holders. In cooperation with a leading Swiss bank, a multistage stochastic optimization model has been developed which transforms a non-maturing account position into a combination of standard fixed-income instruments. The implementation of this model led to a software package applicable for a periodic decision making: minimization of refinancing costs or, vice versa, maximization of reinvestment incomes given an initial non-maturing account position).
   
mot-clé non-maturing accounts, variable-rate mortgages, prepayment risk, savings account deposits, withdrawal option, multistage stochastic programming
   
partenaire
type Projet de recherche appliquée
état completé
Départ du projet 1993
Fin du projet 2002
informations additionelles
sujets
méthodes
Contact Karl Frauendorfer