Portfolio Level Credit Enhancement Analysis of Trade Receivable ABCP---A Stochastic Modeling Approach
Date Issued
2005
Date
2005
Author(s)
Yang, Ya-Chih
DOI
zh-TW
Abstract
Due to the fast development of trade receivable ABCP, assessing the short-term credit risk has become an important issue. The current short-term credit risk models focus either on corporate failure prediction or corporate short-term credit analysis. Few of them are on the credit analysis of short-term corporate credit portfolios such as trade receivable ABCP. The current study based upon the rating criteria issued by Standard & Poor’s is to calculate credit enhancement level of a single-seller trade receivable ABCP portfolio through stochastic modeling of portfolio credit variables such as trade receivable default ratio and dilution ratio. Based upon the significant characteristics of mean-reversion of default ratio, dilution ratio and changing rate of sales, the study develops three stochastic models to predict future required credit enhancement level. Moreover, the proposed analytical methodology in this study can also provides information for assessing the credit risk of a trade receivable ABCP (or the seller of the ABCP).
Subjects
資產基礎商業本票
資產群組層面信用增強分析
隨機模型
Asset-backed commercial paper（ABCP）
Portfolio credit variables
Stochastic models
Type
thesis
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