search query: @author Meyer Zu Selhausen, H. / total: 4
reference: 1 / 4
« previous | next »
| Author: | Meyer zu Selhausen, H. |
| Title: | Exploring and controlling a bank's interest risk : Sensitivity analysis of an asset and liability co-ordination model. (!Interest) |
| Journal: | European Journal of Operational Research
1987 : MAR, VOL. 28:3, p. 261-278 |
| Index terms: | BANKING ASSETS AND LIABILITIES SENSITIVITY ANALYSIS |
| Language: | eng |
| Abstract: | For exploration and control of a bank's interest risk an asset and liability coordination model is used that has been developed in close cooperation with a big German commercial bank. It is capable of analyzing the sensitivity of a bank's interest surplus to sudden and foreseen changes of the interest rate scenario. A model-based iterative procedure is suggested for control of interest risk by bank management. A pragmatic approach is employed mainly in reference to the generation of alternative future interest rate scenarios. |
« previous | next »
SCIMA