This paper investigates the computation of Value-at-Risk (VaR) measures for mortgage backed securities (MBSs) using data for the Danish MBS market. The current RiskMetrics proposal from J.P. Morgan is used as a reference point throughout, but the study diverge somewhat from their proposal, especially with respect to the estimation of zero coupon yield curves as well as in the choice of mapping ...

We studied various approaches for the allocation of mortgage pools, a combinatorial optimization problem faced by nancial institutions that trade in mortgage-backed securities. We review the problem, describe and compare the approaches taken to solve it, and demonstrate how this work motivates further research and the development of a high-level parallel rule language that uses metarules for re...

We develop an agency model of financial contracting. We derive long-term debt, a line of credit, and equity as optimal securities, capturing the debt coupon and maturity; the interest rate and limits on the credit line; inside versus outside equity; dividend policy; and capital structure dynamics. The optimal debt-equity ratio is history dependent, but debt and credit line terms are independent...