A Dynamic Programming Model for Structuring Mortgage Backed Securities

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dc.contributor.authorJuliana A. Medina
dc.contributor.authorGermán Riaño
dc.contributor.authorJulio E. Villarreal
dc.coverage.spatialBolivia
dc.date.accessioned2026-03-22T14:24:50Z
dc.date.available2026-03-22T14:24:50Z
dc.date.issued2007
dc.descriptionCitaciones: 4
dc.description.abstractThis paper presents a dynamic programming model that reduces the cost of issuing a mortgage-backed security by changing the structure of the security issued. The implementation is built on the jMDP framework, which solves Markov Decision Problems. The model was implemented in a real life instance, using the original data of the seventh issuance of the Colombian securitizing firm, Titularizadora Co-lombiana (a Fannie Mae alike), which allowed us to determine the different levels of improvement attained by the model.
dc.identifier.doi10.1109/sieds.2007.4374019
dc.identifier.urihttps://doi.org/10.1109/sieds.2007.4374019
dc.identifier.urihttps://andeanlibrary.org/handle/123456789/46369
dc.language.isoen
dc.sourceUniversidad de Los Andes
dc.subjectStructuring
dc.subjectDynamic programming
dc.subjectComputer science
dc.subjectProgramming paradigm
dc.titleA Dynamic Programming Model for Structuring Mortgage Backed Securities
dc.typearticle

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