Subprime mortgage funding and liquidity risk

DOI10.1080/14697688.2011.637076zbMath1294.91080OpenAlexW1984015131MaRDI QIDQ2879048

Bernadine De Waal, Janine Mukuddem-Petersen, Mmboniseni P. Mulaudzi, Mark Adam Petersen

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.637076

zbMATH Keywords

liquidity risksubprime mortgage crisisdepositssubprime mortgagesmarketable securitiesmortgage and deposit reference processesmortgage funding

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (5)

Stochastic control of credit default insurance for subprime residential mortgage-backed securities ⋮ Subprime risk and insurance with regret ⋮ Bank liquidity and the global financial crisis ⋮ Basel III and the net stable funding ratio ⋮ Optimal originator valuation and the global financial crisis

Cites Work

• Necessity of transversality conditions for stochastic problems.

This page was built for publication: Subprime mortgage funding and liquidity risk