| Summary: | 碩士 === 國立中央大學 === 財務金融研究所 === 92 === 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.
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