https://www.utexas.edu/courses/lasdon/design3.htm, Design and Use of the Microsoft Excel Solver
http://www.federalreserve.gov/newsevents/press/bcreg/bcreg20141023a1.pdf Fed Supervisory Stress Scenario.
http://www.federalreserve.gov/releases/h8/Current/ make all the data Fed data.
http://www.gpops2.com they work in matlab. they are talking million variable NLP control theory.
Ruszczynski, Nonlinear Optimization, 2006.
Bertsekas, Dynamic Programming and Optimal Control, 2005.
Luenberger, Linear and Nonlinear Programming, 2008. Very pleasant beginning.
Klein & Neira, Nelder Mead Simplex Optimization Routine for Large Scale Problem: A Distrinbuted Memory implementation, 2013.
Hayre, Lakhbir, SSB Guide to Matrgage-Backed and Asset Backed Securities, 2007. Look at his discussion of prepayment models for MBS and ABS as a model for pools of deposits and credit card pools.
Reel, et. Al., Prepayment Modeling – Melding Theory and Data into One, 2013. Nice Front office MBS review.
Brown, Ian, Regression Model Development for Credit Card Exposure at Defaul (EAD) Using SAS/STAT.
Canals-Cerda & Kerr, Federal Reseve Bank of Philadelphia, Forecasting Credit Card Profolio Losses in the Great Recession: A Study in Model Risk, 2014. Need a credit card balance model – don’t really care about default that much.
Hirtle, Kovner, et.al., Federal Reserve Bank of New York, The ca[pital and Loss Assessment Under Stress Scenarios Model, 2014. Lots of Risk models not too many balance and return models.