15. Dynamic Modeling and Optimization of Non-maturing Accounts

  1. Leonard Matz and
  2. Peter Neu
  1. Karl Frauendorfer and
  2. Michael Schürle

Published Online: 20 MAR 2012

DOI: 10.1002/9781118390399.ch15

Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

Liquidity Risk Measurement and Management: A practitioner's guide to global best practices

How to Cite

Frauendorfer, K. and Schürle, M. (2006) Dynamic Modeling and Optimization of Non-maturing Accounts, in Liquidity Risk Measurement and Management: A practitioner's guide to global best practices (eds L. Matz and P. Neu), John Wiley & Sons (Asia) Pte Ltd, 2 Clementi Loop, #02-01, Singapore 129809. doi: 10.1002/9781118390399.ch15

Publication History

  1. Published Online: 20 MAR 2012
  2. Published Print: 27 OCT 2006

ISBN Information

Print ISBN: 9780470821824

Online ISBN: 9781118390399

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Keywords:

  • non-maturing accounts;
  • risk management;
  • static replication;
  • stochastic models;
  • demand deposit accounts

Summary

This chapter contains sections titled:

  • Introduction

  • Modeling Non-Maturing Accounts

  • Formulation as a Multistage Stochastic Program

  • Models for the Evolution of Risk Factors

  • Scenario Generation

  • Application to Savings Deposits

  • Conclusion