A three factor model for MBS with credit risk

A three factor model for MBS with credit risk

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本篇論文將Kariya, Ushiyama, and Pliska三位學者在2003所發表之三因子不動產證券化評價模型加入信用風險(credit risk)的考量. === In this paper, we extend Kariya, Ushiyama, and Pliska’s three factor mortgage-backed securities pricing model with credit risk. In our model, two reasons that cause prepayment behaviors are the refinancing factor...

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Bibliographic Details
Main Author: 林怡潔
Language:英文
Published: 國立政治大學
Subjects:
MBS
credit risk
Online Access:http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0090351027%22.
id ndltd-CHENGCHI-G0090351027
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spelling ndltd-CHENGCHI-G00903510272013-01-07T19:27:23Z A three factor model for MBS with credit risk 林怡潔 MBS credit risk 本篇論文將Kariya, Ushiyama, and Pliska三位學者在2003所發表之三因子不動產證券化評價模型加入信用風險(credit risk)的考量. In this paper, we extend Kariya, Ushiyama, and Pliska’s three factor mortgage-backed securities pricing model with credit risk. In our model, two reasons that cause prepayment behaviors are the refinancing factor and the equity factor. Our pricing model is a discrete-time model, and the credit risk is priced due to the concept of reduced form model. We also use Monte Carlo simulation to test our theoretical value and make some comparisons between changing parameters. 國立政治大學 http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0090351027%22. text 英文 Copyright © nccu library on behalf of the copyright holders
collection NDLTD
language 英文
sources NDLTD
topic MBS
credit risk
spellingShingle MBS
credit risk
林怡潔
A three factor model for MBS with credit risk
description 本篇論文將Kariya, Ushiyama, and Pliska三位學者在2003所發表之三因子不動產證券化評價模型加入信用風險(credit risk)的考量. === In this paper, we extend Kariya, Ushiyama, and Pliska’s three factor mortgage-backed securities pricing model with credit risk. In our model, two reasons that cause prepayment behaviors are the refinancing factor and the equity factor. Our pricing model is a discrete-time model, and the credit risk is priced due to the concept of reduced form model. We also use Monte Carlo simulation to test our theoretical value and make some comparisons between changing parameters.
author 林怡潔
author_facet 林怡潔
author_sort 林怡潔
title A three factor model for MBS with credit risk
title_short A three factor model for MBS with credit risk
title_full A three factor model for MBS with credit risk
title_fullStr A three factor model for MBS with credit risk
title_full_unstemmed A three factor model for MBS with credit risk
title_sort three factor model for mbs with credit risk
publisher 國立政治大學
url http://thesis.lib.nccu.edu.tw/cgi-bin/cdrfb3/gsweb.cgi?o=dstdcdr&i=sid=%22G0090351027%22.
work_keys_str_mv AT línyíjié athreefactormodelformbswithcreditrisk
AT línyíjié threefactormodelformbswithcreditrisk
_version_ 1716462337080164352

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