Sökning: "Magnus Orrsveden"

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  1. 1. Optimization of Collateral allocation for Securities Lending : An Integer Linear Programming Approach

    Master-uppsats, KTH/Optimeringslära och systemteori

    Författare :Magnus Orrsveden; Emil Tarukoski; [2019]
    Nyckelord :Collateral Management; Collateral optimization; Operations Research; Linear Programming; Collateral Management; Collateral optimization; Operations Research; Linear Programming;

    Sammanfattning : Collateral management has, during the most recent years, been an increasingly important part of a bank’s operation. The bank is facing an allocation problem of how to post collateral to all its counterparties in order to mitigate the credit risk and the number of transactions that requires collateralization is increasing. LÄS MER