Dynamic replication of non-maturing assets and liabilities

MaRDI QIDQ3416554zbMATH OpenFDO

Authors Michael Schürle

Publication date 22 January 2007

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Recommendations

• Management of non-maturing deposits by multistage stochastic programming
• On the steady state of the replicating portfolio: accounting for a growth rate
• Stochastic optimization in asset \& liability management: A model for non-maturing accounts
• On deposit volumes and the valuation of non-maturing liabilities
• Bank asset and liability management under uncertainty

Cited in

(2)

• On the steady state of the replicating portfolio: accounting for a growth rate
• Non-maturing deposits, convexity and timing adjustments

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