Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord

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

Mathematics Subject Classification ID

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

• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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

This page was built for publication: Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord