Now showing items 1-2 of 2

    • 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 ...