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dc.contributor.authorPetersen, Mark Adam
dc.contributor.authorSchoeman, Ilse Maria
dc.contributor.authorMulaudzi, M.P.
dc.contributor.authorMukuddem-Petersen, Janine
dc.contributor.authorDe Waal, Bernadine
dc.date.accessioned2012-11-15T14:21:25Z
dc.date.available2012-11-15T14:21:25Z
dc.date.issued2011
dc.identifier.citationPetersen, M.A. et al. 2011. Stochastic control of credit default insurances for subprime residential mortgage-backed securities. Optimal control applications & methods, 33(4):375-400. [http://onlinelibrary.wiley.com/journal/10.1002/%28ISSN%291099-1514/]en_US
dc.identifier.issn0143-2087
dc.identifier.issn1099-1514 (Online)
dc.identifier.urihttp://hdl.handle.net/10394/7769
dc.description.abstractSubprime residential mortgage securitization and its associated risks have been a major topic of discussion since the onset of the mortgage crisis in July 2007. In this paper, we provide a stochastic dynamic model for investing bank profit under mortgage securitization. In addition, aspects of this model are illustrated by means of a numerical example. In addition, we solve a stochastic optimal credit default insurance problem that has the cash outflow rate for satisfying depositor obligations, the investment in structured mortgage products and credit default insurance as controls. As far as the latter is concerned, we compute credit default swap and accrued premiums by considering the credit rating of structured mortgage products such as residential mortgage-backed securities and collateralized debt obligations.en_US
dc.description.urihttp://dx.doi.org/10.1002/oca.1001
dc.language.isoenen_US
dc.publisherWileyen_US
dc.subjectResidential mortgage loanen_US
dc.subjectresidential mortgage-backed security (RMBS)en_US
dc.subjectcollateralized debt obligation (CDO)en_US
dc.subjectsubprime investing banken_US
dc.subjectspecial purpose vehicle (SPV)en_US
dc.subjectcredit risken_US
dc.subjectcredit default swaps (CDSs)en_US
dc.subjecttranching risken_US
dc.subjectcounterparty risken_US
dc.subjectlliquidity risken_US
dc.subjectsubprime mortgage crisisen_US
dc.titleStochastic control of credit default insurances for subprime residential mortgage-backed securitiesen_US
dc.typeArticleen_US


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