CIR變異性參數利率模型－信用卡債權證券評價之應用
Date Issued
2004
Date
2004
Author(s)
Wu, Tzu-Yang
DOI
zh-TW
Abstract
This paper combines the CIR model and varying coefficient model to create a CIR varying coefficient model. Under this model, interest rate stochastic process can reflects the effect of micro-economy changes while term structure is unknown. Let exchange rate (NT/USD) and inflation rate (monthly increasing rate of CPI) explain the variation of the varying coefficient .
The accuracy of the interest rate model will be influenced by the selected coefficients, so it’s important to choose suitable coefficients closing to the real market. In order to explain the heteroskedasticity of short rate, we adopt AR(1) accompanied with GARCH model to estimate the coefficients of CIR and CIR varying coefficient model, and then simulate the changes of interest rate.
What’s more, we take Credit Card ABS for example and use Monte Carlo Simulation Method to calculate their theoretical price under each of the two different interest rate models. The result shows that price difference is not significant.
The results of sensitivity analyses are as fellows：
1. Others being equal, when reversion level is larger, the price will be lower.
2. Others being equal, when reversion rate ｋ is larger, the price will be higher, too.
3. When reversion rateｋ or reversion level change, the price of Credit Card ABS will change more significantly under controlled accumulation than controlled amortization.
Subjects
CIR利率模型
GARCH模型
信用卡債權證券
變異性參數模型
CIR Model
Varying Coefficient Model
GARCH Model
Type
thesis
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