Financial Risk Management in the Danish Mortgage Market

Rolf Poulsen Soren S. Nielsen

No 122, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: 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.

Keywords: Stochastic Programming; Risk Management (search for similar items in EconPapers)
JEL-codes: C61 G11 (search for similar items in EconPapers)
Date: 2001-04-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:122

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