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.

引用

页码：97 / 115

页数：19

共 50 条

[31] Accumulation and Dispossession: Lifting the Veil on the Subprime Mortgage Crisis
Strauss, Kendra
ANTIPODE, 2009, 41 (01) : 10 - 14
[32] Spatial analysis of US subprime mortgage crisis contagion
Cheng, Ke
Lu, Feng-Bin
Yang, Xiao-Guang
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice, 2012, 32 (03): : 483 - 494
[33] Originate-to-distribute Model and the Subprime Mortgage Crisis
Purnanandam, Amiyatosh
REVIEW OF FINANCIAL STUDIES, 2011, 24 (06): : 1881 - 1915
[34] The Consequences of the Subprime Mortgage Market Crisis for the Polish Economy
Gierczynska, Kornelia
Wojciechowski, Andrzej
EQUILIBRIUM-QUARTERLY JOURNAL OF ECONOMICS AND ECONOMIC POLICY, 2009, 2 (01): : 9 - 16
[35] THE DEVIL IS IN THE TAILS: ACTUARIAL MATHEMATICS AND THE SUBPRIME MORTGAGE CRISIS
Donnelly, Catherine
Embrechts, Paul
ASTIN BULLETIN, 2010, 40 (01): : 1 - 33
[36] Effect of the subprime mortgage crisis on a leading emerging market
Kim, Jun Sik
Ryu, Doojin
INVESTMENT ANALYSTS JOURNAL, 2015, 44 (01) : 20 - 42
[37] Revisiting the subprime crisis: The dual mortgage market and mortgage defaults by race and ethnicity
Reid, Carolina K.
Bocian, Debbie
Li, Wei
Quercia, Roberto G.
JOURNAL OF URBAN AFFAIRS, 2017, 39 (04) : 469 - 487
[38] It happened again: A Minskian analysis of the subprime loan crisis
Silipo, Damiano B.
JOURNAL OF ECONOMICS AND BUSINESS, 2011, 63 (05) : 441 - 455
[39] Bank Corporate Loan Pricing Following the Subprime Crisis
Santos, Joao A. C.
REVIEW OF FINANCIAL STUDIES, 2011, 24 (06): : 1916 - 1943
[40] "Cherry picking" in subprime mortgage securitizations: Which subprime mortgage loans were sold by depository institutions prior to the crisis of 2007?
Calem, Paul
Henderson, Christopher
Liles, Jonathan
JOURNAL OF HOUSING ECONOMICS, 2011, 20 (02) : 120 - 140

← 1 2 3 4 5 →