Optimal mortgage loan securitization and the subprime crisis

被引：4
|
作者：
Mukuddem-Petersen, J. [1 ]
Mulaudzi, M. P. [1 ]
Petersen, Mark Adam [1 ]
Schoeman, I. M. [1 ]
机构：
[1] North West Univ, ZA-2520 Potchefstroom, South Africa
来源：
OPTIMIZATION LETTERS | 2010年 / 4卷 / 01期
关键词：
True-sales mortgage loan securitization; Credit ratings; Credit default swaps; Profitability; Subprime mortgage crisis;
D O I：
10.1007/s11590-009-0140-y
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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 rate for financing a portfolio of mortgage-backed securities (MBSs) and the bank's investment in MBSs as controls. In our case, the associated Hamilton-Jacobi-Bellman equation (HJBE) has a smooth solution when the optimal controls are computed via a power utility function. Finally, we analyze this optimization problem and its connections with the SMC.
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页码：97 / 115
页数：19
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