Title: Some financial optimization models: II Financial engineering
Abstract:In this chapter we address the use of optimization models in financial engineering. We give this term to the process of creating new packages of old risk attributes. By repackaging and stripping risk ...In this chapter we address the use of optimization models in financial engineering. We give this term to the process of creating new packages of old risk attributes. By repackaging and stripping risk attributes from existing instruments the financial engineer improves the marketability of the products and fits the needs of individual investors. Financial engineering also takes a service role in financial operations. For example, in order to obtain an AAA rating on an issue certain properties should hold under both best- and worst-case scenarios. Optimization models could automate the process of analyzing the scenarios.Read More
Publication Year: 1993
Publication Date: 1993-05-20
Language: en
Type: book-chapter
Indexed In: ['crossref']
Access and Citation
Cited By Count: 21
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