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

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.

Additional Informationsunspecified
Commencement Date1 October 2005
Contributors Aka, Timur (Project Worker); Haeusler, Frank (Project Manager); Paraschiv, Florentina (Project Worker) & Schürle, Michael (Project Manager)
Datestamp 16 Sep 2022 10:57
Completion Date 31 December 2006
Publications Paraschiv, Florentina (2013) Adjustment Policy of Deposit Rates in the Case of Swiss Non-maturing Savings Accounts. Journal of Applied Finance & Banking, 3 (3). 271-323. ISSN 1792-6580
Keywords Multistage Stochastic Optimization, Interest rate derivatives, Interest rate risk management
Funders External Financing
Principal Zürcher Kantonalbank
Id 21874
Project Range Institute/School
Project Status ongoing
Subjects business studies
Project Type industry project
Edit Item Edit Item
Feedback?