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研究生： 林虹妏
Hung-Wen Lin
論文名稱： 考慮違約風險下信用卡應收帳款證券化之評價
Pricing Credit Card Asset-Backed Securities with Default Risks
指導教授： 張傳章
Chuang-Chang Chang
口試委員:
學位類別： 碩士
Master
系所名稱： 管理學院 - 財務金融學系
Department of Finance
畢業學年度： 92
語文別： 英文
論文頁數： 41
中文關鍵詞： 資產證券化 、信用卡債權證券 、HJM 模型 、雙重二項利率樹
外文關鍵詞： Credit Card ABS, HJM Model, Double-Binominal Trees, Asset Securitization
相關次數： 點閱：13  下載：0 
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    • 資產證券化在國外已行之有年，國內自2002年7月通過「金融資產證券化條例」後，使得金融資產證券化成為資本市場籌資的一種方式；在此同時，信用卡已普遍為大眾所使用，信用擴張程度日益嚴重，整體的循環信用餘額快速成長。本研究針對信用卡應收帳款，設計證券化之定價模型；本模型使用風險中立之定價方法，並擴展Heath-Jarrow-Morton 利率模型，以適用於具有違約風險之債權，此外，並針對信用卡產業之特性，搭配市場區隔理論；再者，針對模型中重要的變數進行分析，並模擬變數變動的影響；最後，運用此一模型為信用卡債權進行評價，並設計證券化之基礎架構。

    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.

    Contents 1. INTRODUCTION_______________________________________________1 1.1. The meaning of 「Asset Securitization」_____________________________1 1.2. The basic structure of 「Financial Asset Securitization」_______________2 1.3. Credit Card ABS_________________________________________________4 1.4. Literatures review________________________________________________ 4 1.4.1. Credit card ABS_________________________________________________ 5 1.4.2. The valuing model of credit card loans________________________________6 1.4.3. The term structure of interest rates___________________________________7 2. THE MODEL__________________________________________________ 10 2.1. The frame of the model___________________________________________ 10 2.2. Valuation of Credit Card Loans ___________________________________ 10 2.3. Identifying the Risk-Neutral Drifts_________________________________ 13 3. NUMERICAL METHOD_______________________________________16 3.1. Implementation process___________________________________________16 3.1.1. Random Variables_______________________________________________16 3.1.2. The term structure of forward rate and forward rate’s volatility ___________16 3.1.3. The term structure of forward spread and forward spread’s volatility_______17 3.2. Implementation of the Model______________________________________ 18 4. NUMERICAL RESULTS_______________________________________19 4.1. A simple example________________________________________________ 19 4.2. The effects of changes in the term structure of forward rate_____________21 4.3. The effects of changes in the term structure of forward spread__________ 22 4.4. The effects of changes in the forward rate’s volatility__________________ 23 4.4.1. The effects of the volatility _______________________________________ 24 4.4.2. The effects of the volatility reduction factor___________________________25 4.5. The effects of changes in the forward spread’s volatility________________25 4.5.1. The effects of the volatility________________________________________27 4.5.2. The effects of the volatility reduction factor__________________________ 30 5. CREDIT CARD ABS STRUCTURE____________________________33 5.1. Issuing Structure________________________________________________33 5.2. Credit Enhancement_____________________________________________33 5.3. The Price of Credit Card ABS_____________________________________34 6. CONCLUSION AND FUTURE RESEARCH __________________ 37 REFERENCES___________________________________________________38 APPENDIX A____________________________________________________40 APPENDIX B____________________________________________________41

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