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Stochastic control of credit default insurances for subprime residential mortgage-backed securities

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dc.contributor.author Petersen, Mark Adam
dc.contributor.author Schoeman, Ilse Maria
dc.contributor.author Mulaudzi, M.P.
dc.contributor.author Mukuddem-Petersen, Janine
dc.contributor.author De Waal, Bernadine
dc.date.accessioned 2012-11-15T14:21:25Z
dc.date.available 2012-11-15T14:21:25Z
dc.date.issued 2011
dc.identifier.citation Petersen, 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.issn 0143-2087
dc.identifier.issn 1099-1514 (Online)
dc.identifier.uri http://hdl.handle.net/10394/7769
dc.description.abstract Subprime 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.uri http://dx.doi.org/10.1002/oca.1001
dc.language.iso en en_US
dc.publisher Wiley en_US
dc.subject Residential mortgage loan en_US
dc.subject residential mortgage-backed security (RMBS) en_US
dc.subject collateralized debt obligation (CDO) en_US
dc.subject subprime investing bank en_US
dc.subject special purpose vehicle (SPV) en_US
dc.subject credit risk en_US
dc.subject credit default swaps (CDSs) en_US
dc.subject tranching risk en_US
dc.subject counterparty risk en_US
dc.subject lliquidity risk en_US
dc.subject subprime mortgage crisis en_US
dc.title Stochastic control of credit default insurances for subprime residential mortgage-backed securities en_US
dc.type Article en_US


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