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dc.contributor.authorPetersen, Mark Adamen_US
dc.contributor.authorMulaudzi, Mmboniseni Phanuelen_US
dc.contributor.authorMukuddem-Petersen, Janineen_US
dc.contributor.authorSchoeman, Ilse
dc.identifier.citationPetersen, M.A. et al. 2010. A note on the subprime mortgage crisis: dynamic modelling of bank leverage profit under loan securitization. Applied economics letters, 17(15):1466-4291. []en_US
dc.identifier.issn1466-4291 (Online)
dc.description.abstractIn this brief research article, we consider the financial modelling of the process of mortgage loan securitization that has been a root cause of the ongoing Subprime Mortgage Crisis (SMC). In particular, we suggest a Lévy process-driven model of bank leverage profit that arises from the securitization of a pool of subprime mortgage loans. To achieve this, we develop stochastic models for mortgage loans, mortgage loan losses, credit ratings and mortgage loan guarantees in a subprime context. These models incorporate some of the most important issues related to the SMC and its causes. Finally, we provide a brief analysis of the models developed earlier in our contribution and its relationship with the SMC
dc.publisherTaylor & Francis
dc.titleA note on the subprime mortgage crisis: dynamic modelling of bank leverage profit under loan securitizationen_US
dc.contributor.researchID12307785 - Petersen, Mark Adam
dc.contributor.researchID12359017 - Mukuddem-Petersen, Janine
dc.contributor.researchID10921583 - Schoeman, Ilse Maria
dc.contributor.researchID20999488 - Mulaudzi, Mmboniseni Phanuel

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