Interest rate risk hedging of a bank balance (Phase 2)
Type
industry project
Start Date
October 1, 2005
End Date
December 31, 2006
Status
ongoing
Keywords
Multistage Stochastic Optimization
Interest rate derivatives
Interest rate risk management
Description
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.
multistage stochastic optimizations techniques. Alternative specifications of the constraints and objective function are evaluated.
Leader contributor(s)
Haeusler, Frank
Member contributor(s)
Aka, Timur
Funder
Range
Institute/School
Range (De)
Institut/School
Principal
Zürcher Kantonalbank
Eprints ID
21874
results