In this chapter, we demonstrated how R can support the process of asset and liability management in a commercial bank. There is a wide range of tasks from data preparation to reporting, where the R programming language can help or solve repeating problems. However, we only gave a brief introduction about how to solve problems of interest rate and liquidity measurement. We also provided some examples about the statistical estimation of the interest rate sensitivity of non-maturity deposits. You can find practical knowledge about the following:
Generating cash-flow from bank portfolios and market data
Measuring and reporting tools for basic interest rate risk management
Measuring and reporting tools for basic liquidity risk management
Modeling the behavior of non-maturity deposits
We think that this chapter is an organic part of the bank management topics in this book. Asset and liability management brings a particular problem set of the bank management, and R, as an open-source language...