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Dokumenttyp:
Diplomarbeit 
Autor(en):
Ulbrich, Andreas 
Titel:
Integrated Asset Liability Management 
Abstract:
An Integrated Asset Liabiliy Management study differs from an ordinary market study by the ability to also evaluate and analyse the liabilities side of a balance sheet. Target of this thesis to undertake such a study. To accomplish his target, a specifc market modell, namely the zagst model is implemented. Therefore a closed form solution of every considered process will be provided. On this basis, also the expectations and correlations of the processes are calculated. Since every stochastic var...    »
 
Betreuer:
risklab GmbH 
Gutachter:
Prof. Dr. Rudi Zagst 
Jahr:
2006 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text