- Tytuł:
- Selection of lease contracts in an asset-backed securitization : a real case analysis
- Autorzy:
-
Mansini, R.
Speranza, M. - Powiązania:
- https://bibliotekanauki.pl/articles/206882.pdf
- Data publikacji:
- 1999
- Wydawca:
- Polska Akademia Nauk. Instytut Badań Systemowych PAN
- Tematy:
-
programowanie liniowe
investment
lease contracts
multidimensional knapsack problem
securities trading
securitization - Opis:
- Asset-backed securities represent one of the most attractive financial novelties for institutional investors. More precisely, asset-backed securities are the output of a complex financial operation, so-called securitization, in which bonds are issued to finance a collection of assets in such a way that the bonds issue design is integrated with the funded assets. We consider a real case of securitization, in which the assets are lease contracts. Through the market issuance of tranches of notes a bank (seller) receives funds from a factor (purchaser) and pay them back in terms of pools of credits associated with lease contracts. In this paper we analyze the problem of selecting the most convenient collection of lease contracts (assets) for the seller to hand over to the purchaser. A 0-1 linear programming model is presented which is shown to be equivalent to a 0-1 Multidimensional Knapsack Problem. Heuristic solution procedures are proposed and computational results based on data from the discussed real case are presented.
- Źródło:
-
Control and Cybernetics; 1999, 28, 4; 739-754
0324-8569 - Pojawia się w:
- Control and Cybernetics
- Dostawca treści:
- Biblioteka Nauki