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Financial Risk Management in the Danish Mortgage Market

Author

Listed:
  • Soren S. Nielsen, Rolf Poulsen

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.

Suggested Citation

  • Soren S. Nielsen, Rolf Poulsen, 2001. "Financial Risk Management in the Danish Mortgage Market," Computing in Economics and Finance 2001 122, Society for Computational Economics.
    • Handle: RePEc:sce:scecf1:122
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    More about this item

    Keywords

    Stochastic Programming; Risk Management;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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