Stochastic control of credit default insurance for subprime residential mortgage-backed securities

DOI10.1002/oca.1001zbMath1301.93174OpenAlexW2160263957MaRDI QIDQ2931132

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

Publication date: 24 November 2014

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.1001

zbMATH Keywords

credit riskcounterparty riskliquidity riskcollateralized debt obligation (CDO)subprime mortgage crisiscredit default swaps (CDSs)residential mortgage loanresidential mortgage-backed security (RMBS)special purpose vehicle (SPV)subprime investing banktranching risk

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Profit and risk under subprime mortgage securitization
• A variational problem arising in financial economics
• Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord
• Did bank capital regulation exacerbate the subprime mortgage crisis?
• Subprime mortgage funding and liquidity risk

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