Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
From MaRDI portal
Publication:1009441
DOI10.1155/2008/740845zbMATH Open1158.91396OpenAlexW1987785106WikidataQ58644526 ScholiaQ58644526MaRDI QIDQ1009441FDOQ1009441
Authors: C. H. Fouche, M. C. Senosi, Janine Mukuddem-Petersen, Mark A. Petersen 
Publication date: 1 April 2009
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/129748
Recommendations
- Did bank capital regulation exacerbate the subprime mortgage crisis?
- Optimal mortgage loan securitization and the subprime crisis
- Profit and risk under subprime mortgage securitization
- Optimal originator valuation and the global financial crisis
- Procyclicality and the new basel accord-banks' choice of loan rating system
Cites Work
- Bank Runs, Deposit Insurance, and Liquidity
- Title not available (Why is that?)
- Equilibrium analysis, banking and financial instability.
- Procyclicality and the new basel accord-banks' choice of loan rating system
- Asset pricing for dynamic economies.
- Bank management via stochastic optimal control
- Optimizing asset and capital adequacy management in banking
- Continuous-time stochastic modelling of capital adequacy ratios for banks
- Equilibrium impact of value-at-risk regulation
- Maximizing banking profit on a random time interval
- An application of stochastic optimization theory to institutional finance
Cited In (12)
- Strategic bank closure and deposit insurance valuation
- Did bank capital regulation exacerbate the subprime mortgage crisis?
- Estimation error in regulatory capital requirements: theoretical implications for consumer bank profitability
- Stochastic control of credit default insurance for subprime residential mortgage-backed securities
- The financial crisis and the shadow price of bank capital
- Optimal mortgage loan securitization and the subprime crisis
- Subprime risk and insurance with regret
- A dynamic model of bank valuation
- The Accuracy of Long-term Real Estate Valuations
- Profit and risk under subprime mortgage securitization
- Values-based and global systemically important banks: their stability and the impact of regulatory changes after the financial crisis on it
- The Basel accord and the value of bank differentiation
This page was built for publication: Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1009441)
