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题名Pricing credit risk of asset-backed securitization bonds in Singapore
作者
发表日期2005
发表期刊International Journal of Theoretical and Applied Finance
ISSN/eISSN0219-0249
卷号8期号:3页码:321-338
摘要

Asset-backed securitization (ABS) is a creative arrangement to raise funds through the issuance of marketable securities backed by predictable future cash flows from revenue-producing assets. This paper proposes two pricing models: structural model and intensity model, to value credit spreads on Singapore ABS bonds. Sensitivity analyses were conducted on the ABS credit spreads by varying the values of the key input variables within a plausible range. The property price volatility and its correlations with risk-less interest rates have been shown to have positive effects on the ABS credit spreads. However, when the market volatility is extremely high, the credit spreads decrease with an increase in the time to maturity. The positive effects of the property price volatility were significantly reduced when credit enhancements were added to the ABS bonds, and the credit risks associated with the correlation variable were fully eliminated in the credit enhanced ABS bonds. The rate of loss recovery in the event of default also has significant impact on the credit risks of the ABS bonds. ABS bonds backed by physical property will likely to have high recovery rates thus reducing the credit risks vis-à-vis non-collateralized bonds. © World Scientific Publishing Company.

关键词Asset-backed securitization Credit risk Intensity model Structural model
DOI10.1142/S0219024905003050
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收录类别ESCI
语种英语English
WOS研究方向Business & Economics
WOS类目Business, Finance
WOS记录号WOS:000217059200003
Scopus入藏号2-s2.0-18644372298
引用统计
被引频次:3[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/12597
专题个人在本单位外知识产出
通讯作者Sing, Tien Foo
作者单位
1.Department of Real Estate,School of Design and Environment,National University of Singapore,4 Architecture Drive,Singapore 117566,Singapore
2.School of Business,Singapore Management University,Singapore,Singapore
推荐引用方式
GB/T 7714
Sing, Tien Foo,Ong, Seow Eng,Fan, Gang-Zhiet al. Pricing credit risk of asset-backed securitization bonds in Singapore[J]. International Journal of Theoretical and Applied Finance, 2005, 8(3): 321-338.
APA Sing, Tien Foo, Ong, Seow Eng, Fan, Gang-Zhi, & Lim, Kian Guan. (2005). Pricing credit risk of asset-backed securitization bonds in Singapore. International Journal of Theoretical and Applied Finance, 8(3), 321-338.
MLA Sing, Tien Foo,et al."Pricing credit risk of asset-backed securitization bonds in Singapore". International Journal of Theoretical and Applied Finance 8.3(2005): 321-338.
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