University of St.Gallen
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Development of ALM tool for non-maturing accounts

abstract Non-maturing account positions in a bank's balance are dynamically replicated using a multistage stochastic programming model. Scenarios are generated for the relevant risk factors (market rates, client rate, volume). The corresponding stochastic models are calibrated using historic data. A replicating portfolio is determined that minimizes the risk for a measure specified by the decision maker.
   
keywords Multistage Stochastic Programming, Asset & Liability Management, Risk Management, Non-Maturing Accounts, Term structure model (parameter estimation)
   
partner
type industry project
status ongoing
start of project 2004
additional informations
topics
methods Multistage Stochastic Programming
contact Michael Schürle