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dc.contributor.authorPetersen, Mark Adam
dc.contributor.authorFourie, Bernadine
dc.contributor.authorMukuddem-petersen, Janine
dc.contributor.authorMulaudzi, Mmboniseni Phanuel
dc.date.accessioned2016-09-08T11:24:07Z
dc.date.available2016-09-08T11:24:07Z
dc.date.issued2014
dc.identifier.citationPetersen, M.A. et al. 2014. Subprime mortgage funding and liquidity risk. Quantitative Finance, 14(3):545-555. [http://www.tandfonline.com/]en_US
dc.identifier.urihttp://hdl.handle.net/10394/18593
dc.identifier.urihttp://dx.doi.org/10.1080/14697688.2011.637076
dc.description.abstractIn 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 main objective is to minimize liquidity risk in the form of funding and credit crunch risk in an incomplete market. In order to accomplish this, we construct a stochastic model that incorporates originator mortgage and deposit reference processes. Finally, numerical examples that illustrate the main modeling and optimization features of the article are provided.en_US
dc.language.isoenen_US
dc.publisherTaylor & Francis Onlineen_US
dc.subjectSubprime Mortgagesen_US
dc.subjectMortgage Fundingen_US
dc.subjectMarketable Securitiesen_US
dc.subjectDepositsen_US
dc.subjectMortgage And Deposit Reference Processesen_US
dc.subjectLiquidity Risken_US
dc.subjectSubprime Mortgage Crisisen_US
dc.titleSubprime mortgage funding and liquidity risken_US
dc.typeArticleen_US
dc.contributor.researchID12359017 - Mukuddem-petersen, Janine
dc.contributor.researchID12307785 - Petersen, Mark Adam
dc.contributor.researchID20230257 - Fourie, Bernadine


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