Financial Stochastic Modeling and the Subprime Crisis

Aitoutouhen Latifa; Hamza Faris

doi:doi:10.11648/j.ijefm.20160402.15

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Financial Stochastic Modeling and the Subprime Crisis

Aitoutouhen Latifa, Hamza Faris

Published in International Journal of Economics, Finance and Management Sciences (Volume 4, Issue 2)

Received: 17 February 2016 Accepted: 1 March 2016 Published: 12 March 2016

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Abstract

This present paper proposes to study the limits of mathematical models and their assumptions through the subprime crisis initiated at the summer 2007. Indeed, the mathematical modeling is one of the causes that have contributed to the bursting and the propagation of this financial collapse at the planetary level. However, the valorization of complex products such as (CDO and CDS) was supported by the use of the function of the 'Gaussian Copula' combined with the adoption of restrictive and erroneous assumptions. More precisely, this article aims to provide answers to the following interrogations: Which are the risks related to stochastic models, and which are the tools to evaluate and control them as well as the axes of reflection to solve this crisis of modeling?

Published in	International Journal of Economics, Finance and Management Sciences (Volume 4, Issue 2)
DOI	10.11648/j.ijefm.20160402.15
Page(s)	67-77
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2016. Published by Science Publishing Group

Keywords

Finance Markets, Stochastic Modeling, Subprime Crisis, Credit Derivatives (CDO and CDS), Securitization, Gaussian Copula

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APA Style

Aitoutouhen Latifa, Hamza Faris. (2016). Financial Stochastic Modeling and the Subprime Crisis. International Journal of Economics, Finance and Management Sciences, 4(2), 67-77. https://doi.org/10.11648/j.ijefm.20160402.15

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ACS Style

Aitoutouhen Latifa; Hamza Faris. Financial Stochastic Modeling and the Subprime Crisis. Int. J. Econ. Finance Manag. Sci. 2016, 4(2), 67-77. doi: 10.11648/j.ijefm.20160402.15

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AMA Style

Aitoutouhen Latifa, Hamza Faris. Financial Stochastic Modeling and the Subprime Crisis. Int J Econ Finance Manag Sci. 2016;4(2):67-77. doi: 10.11648/j.ijefm.20160402.15

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@article{10.11648/j.ijefm.20160402.15,
  author = {Aitoutouhen Latifa and Hamza Faris},
  title = {Financial Stochastic Modeling and the Subprime Crisis},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {4},
  number = {2},
  pages = {67-77},
  doi = {10.11648/j.ijefm.20160402.15},
  url = {https://doi.org/10.11648/j.ijefm.20160402.15},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20160402.15},
  abstract = {This present paper proposes to study the limits of mathematical models and their assumptions through the subprime crisis initiated at the summer 2007. Indeed, the mathematical modeling is one of the causes that have contributed to the bursting and the propagation of this financial collapse at the planetary level. However, the valorization of complex products such as (CDO and CDS) was supported by the use of the function of the 'Gaussian Copula' combined with the adoption of restrictive and erroneous assumptions. More precisely, this article aims to provide answers to the following interrogations: Which are the risks related to stochastic models, and which are the tools to evaluate and control them as well as the axes of reflection to solve this crisis of modeling?},
 year = {2016}
}

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TY  - JOUR
T1  - Financial Stochastic Modeling and the Subprime Crisis
AU  - Aitoutouhen Latifa
AU  - Hamza Faris
Y1  - 2016/03/12
PY  - 2016
N1  - https://doi.org/10.11648/j.ijefm.20160402.15
DO  - 10.11648/j.ijefm.20160402.15
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
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EP  - 77
PB  - Science Publishing Group
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UR  - https://doi.org/10.11648/j.ijefm.20160402.15
AB  - This present paper proposes to study the limits of mathematical models and their assumptions through the subprime crisis initiated at the summer 2007. Indeed, the mathematical modeling is one of the causes that have contributed to the bursting and the propagation of this financial collapse at the planetary level. However, the valorization of complex products such as (CDO and CDS) was supported by the use of the function of the 'Gaussian Copula' combined with the adoption of restrictive and erroneous assumptions. More precisely, this article aims to provide answers to the following interrogations: Which are the risks related to stochastic models, and which are the tools to evaluate and control them as well as the axes of reflection to solve this crisis of modeling?
VL  - 4
IS  - 2
ER  -

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Author Information

Aitoutouhen Latifa

Faculty of Economics, University Abdel Malek Essaadi, Tangier, Tetouan, Morocco
Hamza Faris

Polydisciplinary Faculty, University Abdel Malek Essaadi, Tetouan, Morocco

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APA Style

Aitoutouhen Latifa, Hamza Faris. (2016). Financial Stochastic Modeling and the Subprime Crisis. International Journal of Economics, Finance and Management Sciences, 4(2), 67-77. https://doi.org/10.11648/j.ijefm.20160402.15

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ACS Style

Aitoutouhen Latifa; Hamza Faris. Financial Stochastic Modeling and the Subprime Crisis. Int. J. Econ. Finance Manag. Sci. 2016, 4(2), 67-77. doi: 10.11648/j.ijefm.20160402.15

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AMA Style

Aitoutouhen Latifa, Hamza Faris. Financial Stochastic Modeling and the Subprime Crisis. Int J Econ Finance Manag Sci. 2016;4(2):67-77. doi: 10.11648/j.ijefm.20160402.15

Copy | Download

@article{10.11648/j.ijefm.20160402.15,
  author = {Aitoutouhen Latifa and Hamza Faris},
  title = {Financial Stochastic Modeling and the Subprime Crisis},
  journal = {International Journal of Economics, Finance and Management Sciences},
  volume = {4},
  number = {2},
  pages = {67-77},
  doi = {10.11648/j.ijefm.20160402.15},
  url = {https://doi.org/10.11648/j.ijefm.20160402.15},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijefm.20160402.15},
  abstract = {This present paper proposes to study the limits of mathematical models and their assumptions through the subprime crisis initiated at the summer 2007. Indeed, the mathematical modeling is one of the causes that have contributed to the bursting and the propagation of this financial collapse at the planetary level. However, the valorization of complex products such as (CDO and CDS) was supported by the use of the function of the 'Gaussian Copula' combined with the adoption of restrictive and erroneous assumptions. More precisely, this article aims to provide answers to the following interrogations: Which are the risks related to stochastic models, and which are the tools to evaluate and control them as well as the axes of reflection to solve this crisis of modeling?},
 year = {2016}
}

Copy | Download

TY  - JOUR
T1  - Financial Stochastic Modeling and the Subprime Crisis
AU  - Aitoutouhen Latifa
AU  - Hamza Faris
Y1  - 2016/03/12
PY  - 2016
N1  - https://doi.org/10.11648/j.ijefm.20160402.15
DO  - 10.11648/j.ijefm.20160402.15
T2  - International Journal of Economics, Finance and Management Sciences
JF  - International Journal of Economics, Finance and Management Sciences
JO  - International Journal of Economics, Finance and Management Sciences
SP  - 67
EP  - 77
PB  - Science Publishing Group
SN  - 2326-9561
UR  - https://doi.org/10.11648/j.ijefm.20160402.15
AB  - This present paper proposes to study the limits of mathematical models and their assumptions through the subprime crisis initiated at the summer 2007. Indeed, the mathematical modeling is one of the causes that have contributed to the bursting and the propagation of this financial collapse at the planetary level. However, the valorization of complex products such as (CDO and CDS) was supported by the use of the function of the 'Gaussian Copula' combined with the adoption of restrictive and erroneous assumptions. More precisely, this article aims to provide answers to the following interrogations: Which are the risks related to stochastic models, and which are the tools to evaluate and control them as well as the axes of reflection to solve this crisis of modeling?
VL  - 4
IS  - 2
ER  -

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