Pricing of Credit Card Securitization with Early Amortization
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. Curr...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | zh-TW |
Published: |
2006
|
Online Access: | http://ndltd.ncl.edu.tw/handle/67869069967113837531 |
id |
ndltd-TW-094SHU05304022 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-094SHU053040222016-06-24T04:14:42Z http://ndltd.ncl.edu.tw/handle/67869069967113837531 Pricing of Credit Card Securitization with Early Amortization 信用卡證券化之評價研究─考慮本金提早攤還因素 Chung-Fen Chan 詹忠奮 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. Jen-Hung Wang 王仁宏 2006 學位論文 ; thesis 70 zh-TW |
collection |
NDLTD |
language |
zh-TW |
format |
Others
|
sources |
NDLTD |
description |
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.
|
author2 |
Jen-Hung Wang |
author_facet |
Jen-Hung Wang Chung-Fen Chan 詹忠奮 |
author |
Chung-Fen Chan 詹忠奮 |
spellingShingle |
Chung-Fen Chan 詹忠奮 Pricing of Credit Card Securitization with Early Amortization |
author_sort |
Chung-Fen Chan |
title |
Pricing of Credit Card Securitization with Early Amortization |
title_short |
Pricing of Credit Card Securitization with Early Amortization |
title_full |
Pricing of Credit Card Securitization with Early Amortization |
title_fullStr |
Pricing of Credit Card Securitization with Early Amortization |
title_full_unstemmed |
Pricing of Credit Card Securitization with Early Amortization |
title_sort |
pricing of credit card securitization with early amortization |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/67869069967113837531 |
work_keys_str_mv |
AT chungfenchan pricingofcreditcardsecuritizationwithearlyamortization AT zhānzhōngfèn pricingofcreditcardsecuritizationwithearlyamortization AT chungfenchan xìnyòngkǎzhèngquànhuàzhīpíngjiàyánjiūkǎolǜběnjīntízǎotānháiyīnsù AT zhānzhōngfèn xìnyòngkǎzhèngquànhuàzhīpíngjiàyánjiūkǎolǜběnjīntízǎotānháiyīnsù |
_version_ |
1718321237003862016 |