A three factor model for MBS with 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...
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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 |
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英文 |
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MBS credit risk |
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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 |
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1716462337080164352 |