| Summary: | 碩士 === 世新大學 === 財務金融學研究所(含碩專班) === 94 === The Taiwan credit card market grows fast and significantly in the last few years. As this market continues to expand, the credit card issuing institutions have to broaden funding sources. One instrument for this is credit card receivable securitization. Currently in Taiwan the practical experience of securitization is rare and the relevant literature is small. This thesis introduces the flow chart and mechanism of credit card receivable securitization and further values the price of credit card receivable securities under three different amortization structures, including pass-through (master trusts), controlled-amortization, and controlled accumulation structures. Adopting one bank’s data for relevant parameters, I consider issuing senior and subordinate securities in a hypothetical securitization of credit card receivable, taking into account the possibility of early amortization. Following the suggestion of Fitch Ltd., the triggering condition of early amortization is specified as negative excess for consecutively three months. The CIR interest rate model and Monte Carlo Simulation are used to calculate the prices of securities. More importantly, a sensitivity analysis is conducted to investigate the price changes of credit card receivable securities in response to the selected variation of market conditions and simulation parameters.
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