Evaluation of approaches for managing non-maturing accounts (Phase 1)
01 December 2004
31 March 2005
Multistage Stochastic Programming
Asset & Liability Management
Term structure model (parameter estimation)
The performance of dynamic replication strategies for the management of non-maturing account positions in a bank's balance is investigated and compared to traditional approaches. A multistage stochastic programming model is used to determine how maturing tranches are reinvested. The project is made in cooperation with a major Swiss bank.
Multistage Stochastic Programming.