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Interest rate risk hedging of a bank balance (Phase 2)

abstract Aim: Interest rate risk hedging of an entire bank balance with
multistage stochastic optimizations techniques. Alternative specifications of the constraints and objective function are evaluated.
   
keywords Multistage Stochastic Optimization, Interest rate derivatives, Interest rate risk management
   
partner
type industry project
status ongoing
start of project 2005
end of project 2006
principal Zürcher Kantonalbank
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contact Michael Schürle