政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/36585
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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/36585

    Title: A three factor model for MBS with credit risk
    Authors: 林怡潔
    Contributors: 胡聯國
    Keywords: MBS
    credit risk
    Date: 2003
    Issue Date: 2009-09-18 18:54:49 (UTC+8)
    Abstract: 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.
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    3. Cossin, Didier, and Hugues Pirotte, 2000, Advanced Credit Risk Analysis, John Wiley&Sons, Ltd.
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    □ Chinese
    1. 記者宋繐瑢/台北報導, 2003/03/21, 玉山銀行進軍資產證券化市場, 新浪新聞
    2. 游育蓁/台北報導, 2003/02/25, 首宗金融資產證券化上路, 奇摩新聞
    3. 洪川詠/台北報導, 2003/05/13, 台灣證券化市場直逼日韓, 工商時報
    4. 洪川詠/台北報導, 2003/04/10, 開發工銀搶攻證券化商機, 工商時報
    5. 洪川詠/台北報導, 2003/05/13, 開發台工銀戮力開拓商機, 工商時報
    6. 李玉玲/台北報導, 2003/04/15, 安信出售信用卡債權給荷銀, 中國時報
    7. 謝明瑞, 2002/06/03, 台灣實施不動產抵押貸款債權證券化之問題, 財團法人國家政策研究基金會 國策研究報告
    8. 陳文達 李阿乙 廖咸興, 2002/08, 資產證券化, 智勝文化事業有限公司
    9. 林妙宜, 2002, 信用風險之衡量, 國立政治大學金融所
    10. 施宜君, 2001, 信用風險之評價與應用, 國立政治大學金融所
    Description: 碩士
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0090351027
    Data Type: thesis
    Appears in Collections:[Department of International Business ] Theses

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