TY - JOUR
TI - Optimal Securitization of Credit Portfolios via
Impulse Control
AB - We study the optimal loan securitization policy of a commercial bank which is
mainly engaged in lending activities. For this we propose a stylized dynamic model
which contains the main features affecting the securitization decision. In line with
reality we assume that there are non-negligible fixed and variable transaction costs
associated with each securitization. The fixed transaction costs lead to a formulation
of the optimization problem in an impulse control framework. We prove viscosity
solution existence and uniqueness for the quasi-variational inequality associated with
this impulse control problem. Iterated optimal stopping is used to find a numerical
solution of this PDE, and numerical examples are discussed.
SP - 1
EP - 28
UR - http://www.math.uni-leipzig.de/~frey/impulse-credit-frey-seydel.pdf
PY - 2010-05-01
JO - Mathematics and Financial Economics
AU - Frey, RĂ¼diger
AU - Seydel, Roland
ER -