Browsing by Subject "Deposits"

Now showing items 1-2 of 2

    • Stochastic optimization of subprime residential mortgage loan funding and its risks 

      De Waal, Bernadine (North-West University, 2010)
      The subprime mortgage crisis (SMC) is an ongoing housing and nancial crisis that was triggered by a marked increase in mortgage delinquencies and foreclosures in the U.S. It has had major adverse consequences for banks ...

    • Subprime mortgage funding and liquidity risk 

      Petersen, Mark Adam; Fourie, Bernadine; Mukuddem-Petersen, Janine; Mulaudzi, Mmboniseni Phanuel (Taylor & Francis Online, 2014)
      In this article, we use actuarial methods to solve a nonlinear stochastic optimal liquidity risk management problem for subprime originators with deposit inflow rates and marketable securities allocation as controls. The ...