Now showing items 1-4 of 4

    • Did bank capital regulation exacerbate the subprime mortgage crisis? 

      Petersen, M.A.; Senosi, M.C.; Mukuddem-Petersen, J.; Mulaudzi, M.P.; Schoeman, I.M. (Hindawi, 2009)
      This contribution is the second in a series of papers on discrete-time modeling of bank capital regulation and its connection with the subprime mortgage crisis (SMC). The latter was caused by, amongst other things, the ...
    • Optimal allocation between bank loans and treasuries with regret 

      Mulaudzi, M.P.; Petersen, M.A.; Schoeman, I.M. (Springer, 2008)
      The main categories of assets held by banks are loans, Treasuries (bonds issued by the national Treasury), reserves and intangible assets. In our contribution, we investigate the investment of bank funds in loans and ...
    • Optimal mortgage loan securitization and the subprime crisis 

      Mukuddem-Petersen, J.; Petersen, Mark Adam; Schoeman, I.M.; Mulaudzi, M.P. (Springer, 2010)
      We analyze the process of mortgage loan securitization that has been a root cause of the current subprime mortgage crisis (SMC). In particular, we solve an optimal securitization problem for banks that has the cash outflow ...
    • Subprime risk and insurance with regret 

      Petersen, M.A.; Mukuddem-Petersen, J.; Mulaudzi, M.P.; De Waal, B.; Schoeman, I.M. (Hindawi, 2010)
      This paper investigates some of the risk and insurance issues related to the subprime mortgage crisis. The discussion takes place in a discrete-time framework with a subprime investing bank being considered to be regret ...