Optimal mortgage loan securitization and the subprime crisis

DOI10.1007/s11590-009-0140-yzbMath1183.91194OpenAlexW1994970311MaRDI QIDQ845558

Mark Adam Petersen, I. M. Schoeman, Mmboniseni P. Mulaudzi, Janine Mukuddem-Petersen

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

profitabilitycredit default swapscredit ratingssubprime mortgage crisistrue-sales mortgage loan securitization

Mathematics Subject Classification ID

Dynamic programming (90C39) Regularity of solutions in optimal control (49N60) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Actuarial science and mathematical finance (91G99)

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Optimal mortgage loan securitization and the subprime crisis ⋮ Subprime risk and insurance with regret ⋮ Asset portfolio optimization using support vector machines and real-coded genetic algorithm ⋮ Profit and risk under subprime mortgage securitization

Cites Work

• Optimal mortgage loan securitization and the subprime crisis
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