发表状态 | 已发表Published |
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
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ISSN/eISSN | 0219-0249 |
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 |
DOI | 10.1142/S0219024905003050 |
URL | 查看来源 |
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 | |
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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