Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
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Publication:1009441
DOI10.1155/2008/740845zbMath1158.91396OpenAlexW1987785106WikidataQ58644526 ScholiaQ58644526MaRDI QIDQ1009441
C. H. Fouche, M. C. Senosi, Mark Adam Petersen, Janine Mukuddem-Petersen
Publication date: 1 April 2009
Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/129748
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Related Items (5)
Optimal mortgage loan securitization and the subprime crisis ⋮ Stochastic control of credit default insurance for subprime residential mortgage-backed securities ⋮ Subprime risk and insurance with regret ⋮ Profit and risk under subprime mortgage securitization ⋮ Did bank capital regulation exacerbate the subprime mortgage crisis?
Cites Work
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- Optimizing asset and capital adequacy management in banking
- Equilibrium impact of value-at-risk regulation
- Equilibrium analysis, banking and financial instability.
- Maximizing banking profit on a random time interval
- Bank management via stochastic optimal control
- Procyclicality and the new basel accord-banks' choice of loan rating system
- Bank Runs, Deposit Insurance, and Liquidity
- Continuous-time stochastic modelling of capital adequacy ratios for banks
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