Browsing Research Output by Author "Petersen, Mark Adam"

Now showing items 1-4 of 4

    •  Government debt in Greece:  an empirical analysis 

      Mah, Gisele; Mongale, Itumeleng Pleasure; Mukuddem-Petersen, Janine; Petersen, Mark Adam (Virtus Interpress, 2014)
      Greek government debt has been increasing above the percentage stated in the growth and stability path from 112.9% in 2008 to 175.6% in 2013. This paper investigates the determinants of the general government debt in Greek ...

    • 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 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 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 ...