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研究生:林虹妏
研究生(外文):Hung-Wen Lin
論文名稱:考慮違約風險下信用卡應收帳款證券化之評價
論文名稱(外文):Pricing Credit Card Asset-Backed Securities with Default Risks
指導教授:張 傳 章
指導教授(外文):Chuang-Chang Chang
學位類別:碩士
校院名稱:國立中央大學
系所名稱:財務金融研究所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2004
畢業學年度:92
語文別:英文
論文頁數:41
中文關鍵詞:資產證券化信用卡債權證券HJM 模型雙重二項利率樹
外文關鍵詞:Credit Card ABSHJM ModelDouble-Binominal TreesAsset Securitization
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  • 被引用被引用:0
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  • 收藏至我的研究室書目清單書目收藏:4
資產證券化在國外已行之有年,國內自2002年7月通過「金融資產證券化條例」後,使得金融資產證券化成為資本市場籌資的一種方式;在此同時,信用卡已普遍為大眾所使用,信用擴張程度日益嚴重,整體的循環信用餘額快速成長。本研究針對信用卡應收帳款,設計證券化之定價模型;本模型使用風險中立之定價方法,並擴展Heath-Jarrow-Morton 利率模型,以適用於具有違約風險之債權,此外,並針對信用卡產業之特性,搭配市場區隔理論;再者,針對模型中重要的變數進行分析,並模擬變數變動的影響;最後,運用此一模型為信用卡債權進行評價,並設計證券化之基礎架構。
Securitization is the process of making various kinds of fixed-income securities. The authority of Taiwan has passed the law of financial asset securitization on July 2002. Hereafter securitizing is one of the manners to raise funds in the capital market. At the same time, credit card is widely used and the Revolving Credit Amount grows rapidly. In this paper, we offer a framework for modeling credit card loans with default risks. Utilizing the risk-neutral pricing methodology, we develop an arbitrage-free model for valuing Credit Card ABS. Our approach extends the Heath-Jarrow-Morton (1990) term-structure model to allow for considering default risks. We use the market segmentation argument to describe the characteristic of credit card industry. We also use numerical examples to carry out sensitivity analysis. Finally, we design the basic structure of credit card asset-backed securities.
Contents

1. INTRODUCTION_______________________________________________1
1.1. The meaning of 「Asset Securitization」_____________________________1
1.2. The basic structure of 「Financial Asset Securitization」_______________2
1.3. Credit Card ABS_________________________________________________4
1.4. Literatures review________________________________________________ 4
1.4.1. Credit card ABS_________________________________________________ 5
1.4.2. The valuing model of credit card loans________________________________6
1.4.3. The term structure of interest rates___________________________________7

2. THE MODEL__________________________________________________ 10
2.1. The frame of the model___________________________________________ 10
2.2. Valuation of Credit Card Loans ___________________________________ 10
2.3. Identifying the Risk-Neutral Drifts_________________________________ 13

3. NUMERICAL METHOD_______________________________________16
3.1. Implementation process___________________________________________16
3.1.1. Random Variables_______________________________________________16
3.1.2. The term structure of forward rate and forward rate’s volatility ___________16
3.1.3. The term structure of forward spread and forward spread’s volatility_______17
3.2. Implementation of the Model______________________________________ 18

4. NUMERICAL RESULTS_______________________________________19
4.1. A simple example________________________________________________ 19
4.2. The effects of changes in the term structure of forward rate_____________21
4.3. The effects of changes in the term structure of forward spread__________ 22
4.4. The effects of changes in the forward rate’s volatility__________________ 23
4.4.1. The effects of the volatility _______________________________________ 24
4.4.2. The effects of the volatility reduction factor___________________________25
4.5. The effects of changes in the forward spread’s volatility________________25
4.5.1. The effects of the volatility________________________________________27
4.5.2. The effects of the volatility reduction factor__________________________ 30

5. CREDIT CARD ABS STRUCTURE____________________________33
5.1. Issuing Structure________________________________________________33
5.2. Credit Enhancement_____________________________________________33
5.3. The Price of Credit Card ABS_____________________________________34

6. CONCLUSION AND FUTURE RESEARCH __________________ 37

REFERENCES___________________________________________________38
APPENDIX A____________________________________________________40
APPENDIX B____________________________________________________41
References

1.Calem, P. S. and L. J. Mester (1995), Consumer behavior and the stickiness of credit-card interest rates, American Economic Review.
2.Chen, W. D., A. Y. Li, and X. S. Liao (2002), Asset backed securitization : theory and practice, Best Wise.
3.Christiansen, C. (2002), Credit spreads and the term structure of interest rates, International Review of Financial Analysis, Greenwich: Vol. 11, Iss. 3, 279.
4.Das, S. R. and P. Tufano, Pricing credit-sensitive debt when interest rates, credit ratings and credit spreads are stochastic, The Journal of Financial Engineering, Vol. 5 Num. 2.
5.Das, S. R. and R. K. Sundaram (2000), Pricing credit-sensitive debt when interest rates, credit ratings and credit spreads are stochastic, Management Science, Vol. 46 No. 1.
6.Fabozzi, F. J. (c1989), Advances & innovations in the bond and mortgage markets, [Chicago]: Probus.
7.Fabozzi, F. J. and T. D. Fabozzi (1995), The Handbook of fixed income securities, Chicago, Ill: Irwin Professional Pub.
8.Flesaker, B. (1993), Testing the Heath-Jarrow-Morton / Ho-Lee Model of Interest Rate Contingent Claims Pricing, Journal of Financial and Quantitative Analysis., Vol.28, No. 4.
9.Foodman, L. S. (2002), Synthetic CDOs:An Introduction, The Journal of Derivatives.
10.Health, D., R. Jarrow, and A. Morton (1990), Bond pricing and the term structure of interest rates:a discrete time approximation, Journal of Financial and Quantitative Analysis, Vol.25 No.4 December.
11.Hsieh, T. (2002), Credit Card Asset-Backed Securities – Market, Structure, and Product Design, Graduate School of Finance, National Central University.
12.Huang, H. M. (2002), A Study of The Credit Card Receivable-Backed Securitization, Graduate School of Management, Yuan Ze University.
13.Hull, J. C., Options, Futures, and Other Derivatives, Fifth edition, Pearson education international.
14.Jarrow, R. A. and D. R. van Deventer (1998), The arbitrage-free valuation and hedging of demand deposits and credit card loans, Journal of Banking & Finance, 22, 249-272.
15.Kendall, L. T. and M. J. Fishman (1996), A Primer on Securitization, The MIT Press.
16.Kuhn, R. L. (c1990), Mortgage and asset securitization, Homewood, Ill: Dow-Jones Irwin.
17.Kuo, Y. L. (2003), The Valuation Analysis of Credit Card Securities, Institution of Management Science, National Chiao Tung University.
18.Norton, J. J. and R. M. Auerback (1993), International finance in the 1990s: challenges and opportunities, Cambridge, Mass., USA: Blackwell Finance.
19.Ritchken, P. (1996), Derivative Markets, Theory, Strategy, and Applications, HarperCollins College Publishers.
20.Stone, C., A. Zissu, and J. Lederman (1993), The Global asset backed securities market: structuring, managing, and allocating risk, Chicago, Ill : Probus Pub. Co.
21.Sundaresan, S. M. (2000), Continuous-Time Methods in Finance: A Review and an Assessment, The Journal of Finance, Vol. LV, No. 4.
22.Zhou, C. (2001), The term structure of credit spreads with jump risk, Journal of Banking & Finance, Amsterdam: Nov. Vol. 25, Iss. 11, 2015.
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