dc.contributor.author | Petersen, Mark Adam | en_US |
dc.contributor.author | Mulaudzi, Mmboniseni Phanuel | en_US |
dc.contributor.author | Mukuddem-Petersen, Janine | en_US |
dc.contributor.author | Schoeman, Ilse | |
dc.date.accessioned | 2010-08-04T15:37:30Z | |
dc.date.available | 2010-08-04T15:37:30Z | |
dc.date.issued | 2010 | en_US |
dc.identifier.citation | Petersen, 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. [http://dx.doi.org/10.1080/13504850903035907] | en_US |
dc.identifier.issn | 1350-4851 | |
dc.identifier.issn | 1466-4291 (Online) | |
dc.identifier.uri | http://hdl.handle.net/10394/3471 | |
dc.identifier.uri | http://dx.doi.org/10.1080/13504850903035907 | |
dc.identifier.uri | http://www.tandfonline.com/doi/full/10.1080/13504850903035907 | |
dc.description.abstract | In 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.publisher | Taylor & Francis | |
dc.title | A note on the subprime mortgage crisis: dynamic modelling of bank leverage profit under loan securitization | en_US |
dc.contributor.researchID | 12307785 - Petersen, Mark Adam | |
dc.contributor.researchID | 12359017 - Mukuddem-Petersen, Janine | |
dc.contributor.researchID | 10921583 - Schoeman, Ilse Maria | |
dc.contributor.researchID | 20999488 - Mulaudzi, Mmboniseni Phanuel | |