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Interest rate risk hedging of bank balance (Phase 1)

abstract Aim: Interest rate risk hedging of an entire bank balance with multistage stochastic optimizations techniques, based on parameter estimation of a term structure model.
   
keywords Multistage Stochastic Optimization, Interest rate derivatives, Interest rate risk hedging, Term structure model (parameter estimation)
   
partner
type industry project
status completed
start of project 2004
end of project 2004
principal Zürcher Kantonalbank
additional informations
topics
methods Multistage Stochastic Optimization;Valuation of interest rate derivatives
contact Michael Schürle