Financial Risk Management in the Danish Mortgage Market

We report on progress on a Multistage Stochastic programming model for managing risks in the Danish MBS market. An issuer has the choice between adjustable and fixed rates, both types having various options. An integrated interest-rate and optimization model is needed to manage this complex situation.

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Year of publication:	2001-04-01
Authors:	Nielsen, Soren S. ; Poulsen, Rolf
Institutions:	Society for Computational Economics - SCE
Subject:	Stochastic Programming \| Risk Management

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Series:	Computing in Economics and Finance 2001.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2001 Number 122
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005706760