Integer programming applications: Bond trading, mortgage backed security financing, and FASB 115 accounting
- Univ. of Missouri, St. Louis, MO (United States)
In this review we describe three integer programming applications involving fixed income securities. A bond trading model is presented that features a number of possible different objectives and collections of constraints including future interest rate scenarios. A mortgage backed security (MBS) financing model that accounts for potential defaults in the MBS is also presented. Finally we describe an approach to allocate collections of bank securities into three categories: hold to maturity, available for sale, or trading. Placement of securities in these categories affects the capital, net income, and liquidity of a bank according to new accounting rules promulgated by the Financial Accounting Standards Board.
- OSTI ID:
- 36333
- Report Number(s):
- CONF-9408161-; TRN: 94:009753-0672
- Resource Relation:
- Conference: 15. international symposium on mathematical programming, Ann Arbor, MI (United States), 15-19 Aug 1994; Other Information: PBD: 1994; Related Information: Is Part Of Mathematical programming: State of the art 1994; Birge, J.R.; Murty, K.G. [eds.]; PB: 312 p.
- Country of Publication:
- United States
- Language:
- English
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