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

zbMATH Keywords

credit default swapscredit ratingsprofitabilitysubprime mortgage crisistrue-sales mortgage loan securitization

Mathematics Subject Classification ID

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)

Recommendations

• Stochastic control of credit default insurance for subprime residential mortgage-backed securities
• Optimal originator valuation and the global financial crisis
• Subprime mortgage funding and liquidity risk
• Profit and risk under subprime mortgage securitization
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Cites work

• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• Asset pricing for dynamic economies.
• Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
• Continuous-time stochastic modelling of capital adequacy ratios for banks
• Did bank capital regulation exacerbate the subprime mortgage crisis?
• Optimal mortgage loan securitization and the subprime crisis
• Risk Aversion in the Small and in the Large

Cited in

(15)

• Improving Risk Sharing and Borrower Incentives in Mortgage Design
• Subprime risk and insurance with regret
• Household Risk Management and Optimal Mortgage Choice
• Profit and risk under subprime mortgage securitization
• Subprime mortgage funding and liquidity risk
• Stochastic control of credit default insurance for subprime residential mortgage-backed securities
• An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
• Minimizing the payments and borrower risk in a mortgage
• Optimal mortgage loan securitization and the subprime crisis
• Optimal originator valuation and the global financial crisis
• Financial engineering and agency problems
• Asset portfolio optimization using support vector machines and real-coded genetic algorithm
• On the design of mortgages and the need for indexation
• Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
• Optimal securitization of credit portfolios via impulse control

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