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    • Subprime mortgage funding and liquidity risk 

      Petersen, Mark Adam; Fourie, Bernadine; Mukuddem-petersen, Janine; Mulaudzi, Mmboniseni Phanuel (Taylor & Francis Online, 2014)
      In this article, we use actuarial methods to solve a nonlinear stochastic optimal liquidity risk management problem for subprime originators with deposit inflow rates and marketable securities allocation as controls. The ...