Title :
The ALEXSYS mortgage pool allocation system
Author :
Stolfo, Salvatore J. ; Chan, Philip K. ; Woodbury, Leland ; Glazier, Jason ; Ohsie, David
Author_Institution :
Dept. of Comput. Sci., Columbia Univ., New York, NY, USA
Abstract :
Various approaches are given for the allocation of mortgage pools, a combinatorial optimization problem, faced by financial institutions that trade in mortgage-backed securities. The authors review the problem, describe and compare the approaches taken to solve it, and demonstrate how this work motivates further research and the development of a high-level parallel rule language that uses meta-rules for reduction of conflicting (or less profitable) instantiations
Keywords :
expert systems; mortgage processing; optimisation; parallel languages; securities trading; ALEXSYS mortgage pool allocation system; combinatorial optimization problem; financial institutions; high-level parallel rule language; meta-rules; mortgage pools; mortgage-backed securities; Annealing; Artificial intelligence; Collaboration; Collaborative work; Computer science; Data security; Greedy algorithms; Loans and mortgages; Personnel; Tail;
Conference_Titel :
Artificial Intelligence Applications on Wall Street, 1991. Proceedings., First International Conference on
Conference_Location :
New York, NY
Print_ISBN :
0-8186-2240-7
DOI :
10.1109/AIAWS.1991.236569
