Dynamic modelling and optimization of non-maturing accounts

@inproceedings{Frauendorfer2007DynamicMA,
  title={Dynamic modelling and optimization of non-maturing accounts},
  author={Karl Frauendorfer and Michael Sch{\"u}rle},
  year={2007}
}
The risk management of non-maturing account positions in a bank’s balance like savings deposits or certain types of loans is complicated by the embedded options that clients may exercise. In addition to the usual interest rate risk, there is also uncertainty in the timing and amount of future cash flows. Since the corresponding volume risk cannot directly be hedged, the account must be replicated by a portfolio of instruments with explicit maturities. This paper introduces a multistage… CONTINUE READING
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