Kay Giesecke How Can We Combine Loans into Balanced Loan Portfolios?
The paper presented in this video, from the field of financial mathematics, addresses the problem of building optimal loan portfolios and develops a novel computational method to do so even if with an infinite number of loans. The new tool was tested on a data-set of 120 million mortgage loans, and was able to solve this high-dimensional problem. As KAY GIESECKE explains, the applied method is an asymptotic approximation approach: To solve the problem at hand, the solution to a problem with fewer dimensions is computed, and as the portfolio grows larger again, the solution “grows” into the solution of the actual problem.
LT Video Publication DOI: https://doi.org/10.21036/LTPUB10111
Large-Scale Loan Portfolio Selection
- Justin Sirignano, Gerry Tsoukalas and Kay Giesecke
- Stanford University
- Published in 2016