Optimal mortgage loan securitization and the subprime crisis
DOI10.1007/S11590-009-0140-YzbMATH Open1183.91194OpenAlexW1994970311MaRDI QIDQ845558FDOQ845558
Authors: Mark A. Petersen, I. M. Schoeman, Janine Mukuddem-Petersen, Mmboniseni P. Mulaudzi 
Publication date: 29 January 2010
Published in: Optimization Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11590-009-0140-y
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credit default swapscredit ratingsprofitabilitysubprime mortgage crisistrue-sales mortgage loan securitization
Dynamic programming (90C39) Regularity of solutions in optimal control (49N60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)
Cites Work
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- Risk Aversion in the Small and in the Large
- Asset pricing for dynamic economies.
- Optimal mortgage loan securitization and the subprime crisis
- Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
- Did bank capital regulation exacerbate the subprime mortgage crisis?
- Continuous-time stochastic modelling of capital adequacy ratios for banks
Cited In (11)
- Asset portfolio optimization using support vector machines and real-coded genetic algorithm
- Household Risk Management and Optimal Mortgage Choice
- An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
- Improving Risk Sharing and Borrower Incentives in Mortgage Design
- On the design of mortgages and the need for indexation
- Optimal mortgage loan securitization and the subprime crisis
- Optimal securitization of credit portfolios via impulse control
- Subprime risk and insurance with regret
- Profit and risk under subprime mortgage securitization
- Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
- Minimizing the payments and borrower risk in a mortgage
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