dc.contributor.author | Mukuddem-Petersen, J. | en_US |
dc.contributor.author | Petersen, Mark Adam | en_US |
dc.contributor.author | Schoeman, I.M. | en_US |
dc.contributor.author | Mulaudzi, M.P. | en_US |
dc.date.accessioned | 2012-02-29T09:51:57Z | |
dc.date.available | 2012-02-29T09:51:57Z | |
dc.date.issued | 2010 | en_US |
dc.identifier.citation | Mukuddem-Petersen, J. et al. 2010. Optimal mortgage loan securitization and the subprime crisis. Optimization letters, 4(1):97-115. [https://doi.org/10.1007/s11590-009-0140-y] | en_US |
dc.identifier.issn | 1862-4472 | en_US |
dc.identifier.issn | 1862-4480 (Online) | en_US |
dc.identifier.uri | http://hdl.handle.net/10394/6112 | |
dc.identifier.uri | https://link.springer.com/article/10.1007%2Fs11590-009-0140-y | |
dc.identifier.uri | https://doi.org/10.1007/s11590-009-0140-y | |
dc.description.abstract | We analyze the process of mortgage loan securitization that has been a root cause of the current subprime mortgage crisis (SMC). In particular, we solve an optimal securitization problem for banks that has the cash outflow rate for financing a portfolio of mortgage-backed securities (MBSs) and the bank’s investment in MBSs as controls. In our case, the associated Hamilton–Jacobi–Bellman equation (HJBE) has a smooth solution when the optimal controls are computed via a power utility function. Finally, we analyze this optimization problem and its connections with the SMC | |
dc.publisher | Springer | en_US |
dc.subject | True-sales mortgage loan securitization | |
dc.subject | Credit ratings | |
dc.subject | Credit default swaps | |
dc.subject | Profitability | |
dc.subject | Subprime mortgage crisis | |
dc.title | Optimal mortgage loan securitization and the subprime crisis | en_US |
dc.contributor.researchID | 10921583 - Schoeman, Ilse Maria | |
dc.contributor.researchID | 12359017 - Mukuddem-Petersen, Janine | |
dc.contributor.researchID | 12307785 - Petersen, Mark Adam | |
dc.contributor.researchID | 20999488 - Mulaudzi, Mmboniseni Phanuel | |