- 學位論文
應用Hull-White三元樹利率模型探討信用卡債權證券
Pricing Credit Card Receivables-backed Securities With Hull-White Interest Rate Model
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摘要
信用卡債權證券化的好處在於未涉及抵押權，現金流量單純，所以發行較易，台灣目前已正式完成交易的證券化商品中，安信信用卡出售債權予荷銀一案即為此類代表。對金融機構而言，債權證券化可以降低資金籌措成本，改善公司財務結構；對投資人而言，可增加投資人的標的選擇，且證券收益是採分離課稅，對高所得者有節稅效果；加上近年來銀行界力促消費金融，信用卡業務與放款金額年年快速成長，如何將這些債權順利證券化並行銷至投資者手中，應是各金融機構關心的課題。本論文擬先就信用卡債權證券的架構、特性與風險作一介紹，再針對不同信託架構下的本息償還方式，以Hull-White利率模型進行評價模擬，找出證券合理價格及關鍵影響因素。 本論文共分五章： 第一章 前言、研究動機、目的、方法及研究架構 第二章 首先介紹信用卡債權證券化的流程與參與機構，再針對其相關特性剖析，如特殊目的公司（SPC）與特殊目的信託（SPT）的比較與類型，因信用卡債權攤還方式不同所產生的四種發行結構，以及各種風險來源的發生及控管。 第三章 分別就上章述及的緩付、急付、管制型攤銷及一次付清等四種發行架構，探討各期現金流量；並介紹所使用的Hull-White利率模型，如公式的推導、三元樹的兩階段建構及Dharan前推運演算法等，以正確評定證券價格。 第四章 探討這四種發行架構下的債權證券，在面對信用卡還款特有的參數變動，如平均還款週期或每月付款率等；及Hull-White利率模型的各種假設因數影響下，如利率波動度、均數復歸速度等，所對應產生的價格行為。 第五章 結論及建議
關鍵字
信用卡債權證券並列摘要
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.
並列關鍵字
Credit Card ABS參考文獻
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