A note on the subprime mortgage crisis: Dynamic modelling of bank leverage profit under loan securitization

Applied Economics Letters

Volumn 17, Issue 15, 2010, Pages 1469-1474

  Petersen, Mark Adam ^a   Mulaudzi, Mmboniseni Phanuel ^a   Mukuddem Petersen, Janine ^a   Schoeman, Ilse ^a  

^a NORTH WEST UNIVERSITY   (South Africa)

Author keywords

[No Author keywords available]

Indexed keywords

BANKING; FINANCIAL CRISIS; LENDING BEHAVIOR; MODELING; MORTGAGE LENDING; PROFITABILITY; STOCHASTICITY;

EID: 77957601424     PISSN: 13504851     EISSN: 14664291     Source Type: Journal    
DOI: 10.1080/13504850903035907     Document Type: Article

References (9)

1. Altug, S. and Labadie, P. (1994) Dynamic Choice and Asset Markets, Academic Press, San Diego, CA.
2. Basel Committee on Banking Supervision (2006) International convergence of capital measurement and capital standards: a revised framework. Bank for International Settlements. Available at http://www.bis.org/publ/bcbs107.pdf/ (accessed 17 June 2009).
3. Borio, C., Furfine, C. and Lowe, P. (2001) Procyclicality of the financial system and financial stability: issues and policy options. Working Paper, Bank for International Settlements. Available at http://www.bis.org/publ/bppdf/bispap01a.pdf (accessed 17 June 2009).
4. Chami, R. and Cosimano, T. F. (2001) Monetary policy with a touch of Basel, International Monetary Fund, Working Paper WP/01/151.
5. Demirguc-Kunt, A. and Detragiache E. (1999) Monitoring banking sector fragility: a multivariate logit approach. IMF Working Paper No. 106.
6. Demyanyk, Y. and Van Hemert, O. (2008) Understanding the subprime mortgage crisis. Available at SSRN: http://ssrn.com/abstract=1020396 (accessed 19 August 2008).
7. Fouche, C. H., Mukuddem-Petersen, J., Petersen, M. A. and Senosi, M. C. (2008) Bank valuation and its connections with the subprime mortgage crisis and Basel II Capital Accord, Discrete Dynamics in Nature and Society, 2008, Article ID 740845, 44 pp.
8. Mukuddem-Petersen, J., Petersen, M. A., Schoeman, I. M. and Tau, B. A. (2008) Dynamic modelling of bank profits, Applied Economics Letters, 1, 1-5.
9. Wikipedia: The Free Encyclopedia (2009) Subprime Mortgage Crisis. Available at http://en.wikipedia.org/wiki/subprime_mortgage_crisis (accessed 15 April 2009).