Now showing items 1-4 of 4

    • A note on the subprime mortgage crisis: dynamic modelling of bank leverage profit under loan securitization 

      Petersen, Mark Adam; Mulaudzi, Mmboniseni Phanuel; Mukuddem-Petersen, Janine; Schoeman, Ilse (Taylor & Francis, 2010)
      In this brief research article, we consider the financial modelling of the process of mortgage loan securitization that has been a root cause of the ongoing Subprime Mortgage Crisis (SMC). In particular, we suggest a Lévy ...
    • Optimal provisioning for bank loan losses in a robust control framework 

      Gideon, Frednard; Mukuddem-petersen, Janine; Petersen, Mark; Mulaudzi, Mmboniseni Phanuel (John Wiley & Sons, Ltd, 2009)
    • Subprime mortgage funding and liquidity risk 

      Petersen, Mark Adam; Fourie, Bernadine; Mukuddem-petersen, Janine; Mulaudzi, Mmboniseni Phanuel (Taylor and 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 ...
    • 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 ...