Pricing Credit Card Receivables-backed Securities With Hull-White Interest Rate Model
Date Issued
2004
Date
2004
Author(s)
Lin, Huan-Chao
DOI
zh-TW
Abstract
The benefits of credit card receivables-backed securities include less legal constraints and simpler cash flow than other kinds of MBS; therefore, they’re easier to issue. For financial institutions, credit card ABS can reduce the costs of raising funds and improve the financial structures. For investors, they also can increase the outlets for investments and have tax saving effects. Besides, many banking institutions urge consumer finance in recent years, and how to handle the increasing receivables will become a serious problem in the future.
At the first of my essay, I give a brief introduction of credit card ABS, including the issuing process, participants, comparison of special purpose vehicles, types of amortization structures, and sources of risks. Since having separated the amortization structures into slow pay, rapid pay, controlled- amortization, and bullet-payment structures, we can see each representative formula for cash flow. Then, I concisely explain the Hull-White Interest Rate Model and the Dharan Forward Induction in order to use them calculate the price of securities. According to the preset data, we can conduct to some meaningful results through sensitivity analysis. Prices will be affected no matter under the variables that belong to credit card ABS or the interest rate model. Finally, wish this research can do some favor for credit card ABS in our country.
Subjects
信用卡債權證券
Credit Card ABS
Type
thesis
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