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dc.contributor.authorMukuddem-Petersen, J.en_US
dc.contributor.authorPetersen, Mark Adamen_US
dc.contributor.authorSchoeman, I.M.en_US
dc.contributor.authorMulaudzi, M.P.en_US
dc.date.accessioned2012-02-29T09:51:57Z
dc.date.available2012-02-29T09:51:57Z
dc.date.issued2010en_US
dc.identifier.citationMukuddem-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.issn1862-4472en_US
dc.identifier.issn1862-4480 (Online)en_US
dc.identifier.urihttp://hdl.handle.net/10394/6112
dc.identifier.urihttps://link.springer.com/article/10.1007%2Fs11590-009-0140-y
dc.identifier.urihttps://doi.org/10.1007/s11590-009-0140-y
dc.description.abstractWe 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.publisherSpringeren_US
dc.subjectTrue-sales mortgage loan securitization
dc.subjectCredit ratings
dc.subjectCredit default swaps
dc.subjectProfitability
dc.subjectSubprime mortgage crisis
dc.titleOptimal mortgage loan securitization and the subprime crisisen_US
dc.contributor.researchID10921583 - Schoeman, Ilse Maria
dc.contributor.researchID12359017 - Mukuddem-Petersen, Janine
dc.contributor.researchID12307785 - Petersen, Mark Adam
dc.contributor.researchID20999488 - Mulaudzi, Mmboniseni Phanuel


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