廖咸興李存修臺灣大學：龔美娟Kung, Mei-ChuanMei-ChuanKung2007-11-282018-07-092007-11-282018-07-092004http://ntur.lib.ntu.edu.tw//handle/246246/60916金融資產證券化在美國行之有年，能夠為金融機構帶來釵h好處，所以發展十分快速。台灣自從相關法令通過之後，展開證券化的歷史，成左漁蚳狾釵p雨後春筍。然而，由於現金流量以及利率波動，定價並非容易，加上台灣並無官方機構為證券化商品提供保證，所以，必須尋求一個適合台灣發展金融資產證券化的模型。 本論文結合提前清償模型,違約模型以及利率模型，探討違約行為對於一個投資組合的影響，了解信用增強機制彼此的互動關係，也為台灣發行金融資產證券化提供一個參考的依據。The history of financial asset securitization is based in North America. Due to its benefits for financial institutions, the development of financial asset securitization has soared during the past few decades. In Taiwan, it wasn’t until 2002 that financial asset securitization had the opportunity to develop under the newly passed Financial Assets Securitization Law. However, pricing is not easy on account of the volatility and uncertainty of cash flow. Moreover, there’s no government agency to provide a guarantee for securitized products, so it’s necessary to construct a model that reflects the development in Taiwan. This study combines the prepayment model, default model and the interest rate model to discuss the impact of defaults on the loan portfolio and to find out the interaction between different mechanisms of credit enhancement. So, possibly thesis can provide a reference for the issuance of securitization in Taiwan.1.Introduction ………………………………………………………1 1.1 Research Structure …………………………………………6 2.Institutional Background and Literature Review …………7 2.1 Introduction for MBS and CLO ……………………………8 2.2 MBS Pricing …………………………………………………10 2.2.1 Prepayment Models ……………………………………11 2.2.1-1 Certain Models …………………………………12 2.2.1-2 Stochastic Models………………………………14 2.2.1-3 Statistical Models ……………………………15 2.2.2 Default Models…………………………………………15 2.2.2-1 Asset model………………………………………16 2.2.2-2 CreditMetrics……………………………………17 2.2.2-3 KMV's EDF model…………………………………17 2.2.2-4 SDA curve…………………………………………17 3.Risk Assessment Model Construction…………………………19 3.1 Discount Factors……………………………………………22 3.2 Cash Flow Calculating ……………………………………24 3.2.1 Foreclosure Process …………………………………24 3.2.2 Parameters Setting……………………………………25 3.2.3 Construction Steps……………………………………25 3.3 Spread, Overcollateralization and Subordinated Structure ……………………………………………………29 3.3.1 The Spread………………………………………………29 3.3.2 Overcollateralization ………………………………30 3.3.3 Subordinated Structure………………………………32 4.Monte Carlo Simulation…………………………………………33 4.1 Simulation Steps……………………………………………34 4.2 Variance Reduction Technique—Antithetic Variable Technique ……………………………………………………35 4.3 Results and Sensitive Analysis…………………………37 5.Conclusion…………………………………………………………471286119 bytesapplication/pdfen-US提前清償証券化違約defaultsecuritizationprepaymentthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60916/1/ntu-93-R91723052-1.pdf