2006-08-012024-05-18https://scholars.lib.ntu.edu.tw/handle/123456789/705138摘要：本研究計畫是由學界與業界(路透社、國票金控)所組成的研究團隊，最主要的研究目標是建立 「資產證券化商品風控與評價平台」，提供全球投資機構投資台灣結構型商品的相關資訊。 我們的子計畫包含三部份。第一部份是一套描述多樣化的資產證券化商品的架構用以訂價。 第二部份是一個選擇權評價模型， 其輸入包含信用和提前還款參數。第三部份是計算上的問題，使用蒙地卡羅法作為模擬方法。<br> Abstract: The is a joint project between academic reserchers and practitioners (Reuters, IBFC) to establish an ABS risk management and evaluation platform for Taiwan's structured products. Out subproject is composed of three major parts. The first is a scheme to describe the huge diversity of ABS products for pricing purposes. The second part is the option pricing model with a credit component and a prepayment component. The third part is computational. Monte Carlo is the method of choice.蒙地卡羅法資產證券化Monte Carloasset-backed security