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    Please use this identifier to cite or link to this item: https://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
    林怡潔
    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.
    Reference: 1. Bjork, Tomas, Arbitrage Theory in Continuous Time, Oxford university press CH15 p228~241
    2. Black, Fischer, and Myron Scholes, 1973, The Pricing of Options and Corporate Liabilities. Journal of Political Economy, Vol.81, No. 3, p637-653
    3. Cossin, Didier, and Hugues Pirotte, 2000, Advanced Credit Risk Analysis, John Wiley&Sons, Ltd.
    4. Cunningham, D.F., P.H. Hendershott, 1984, Pricing FHA Mortgage Default Insurance. Housing Finance Review,13, p373-392
    5. Darrell Duffie, Kenneth J. Singleton, Modeling Term Structures of Defaultable Bonds. The Review of Financial Studies Special 1999, Vol.12, No.4, p687-720
    6. Das, Sanjiv, and Peter Tufano, 1996, Pricing Credit Sensitive Debt when Interest Rates, Credit Ratings and Credit Spreads are Stochastic. Journal of Financial Engineering, 5(2), June
    7. Deng, Yongheng, and John M. Quigley, and Robert Van Order, Mortgage terminations, Heterogeneity and the exercise of mortgage options. Econometrica 68, 275-307
    8. Duffie, Darrell, and Kenneth J, Singleton, 1997, An Econometric Model of the Term Structure of Interest Rate Swap Yields. Journal of Finance, Vol.52, No. 4, p1287-1321
    9. Epperson,J.F., J.B.Kau, D.C. Keenan, W.J.Muller, 1985, Pricing Default Risk in Mortgages. Journal of the American Real Estate and Urban Economics Association,13,p261-272
    10. Foster, C., R.Van Order,1984, An Option-based Model of Mortgage Default. Housing Finance Review,3,p351-372
    11. Heath, D., R.Jarrow, and A.Merton,1992, Bond pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation. Econometrica, 60, 77-106
    12. Hite, G., and Arthur Warga,1997, The effect of Bond-Rating Changes on Bond Price Performance. Financial Analysts Journal, Vol. 53,p35-51
    13. Hübner , Georges, 1997, A Two-Factor Gaussian Model of Default Risk, working paper, Paris and University of Liege, Belgium, 84pp
    14. Jacob Boudoukh, Matthew Richardson, Richard Stanton, The pricing and hedging of mortgage-backed securities: a multivariate density estimation approach. Review of Financial studies 10,405-446
    15. Jarrow, R. and Stuart Turnbull, 1995, Pricing Derivatives on Financial Securities Subject to Credit Risk. Journal of Finance,50(1),53-85
    16. Jarrow,R. David Lando and Stuart Turnbull, 1997, A Markov Model of the Term Structure of Credit Spreads. Review of Financial Studies, 10（2）
    17. Kariya, Takeaki, Fumiaki Ushiyama, Stanley R. Pliska, 2002, A 3-factor Valuation Model for Mortgage-Backed Securities, working paper
    18. Kariya, T. and Kobayashi, 2000, Pricing Mortgage-Backed Securities-A Model Describing the Burnout Effect. Asia-Pacific Financial Markets 7, p189-204
    19. Kau, J.B., D.C.Deenan,1995, An Overview of the Option-Theoretic Pricing of Mortgages. Journal of Housing Research,6,p217-244
    20. Kim, In Joon, Krishna Ramaswamy, and Suresh Sundaresan, 1989. The valuation of Corporate Fixed Income Securities, Working paper, University of Pennsylvania.
    21. Lando, David, 1998, On Cox Processes and Credit Risky Securities. Review of Derivatives Research, Vol.2, p99-120
    22. Merton, Robert C.. On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance,29 May 1974 ,P449-470
    23. Protter, P., 1990, Stochastic Integration and Differential Equations, Springer-Verlag, New York
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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
    國立政治大學
    國際經營與貿易研究所
    90351027
    92
    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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