题名 | Analysis of credit risks in asset-backed securitization transactions in Singapore |
作者 | |
发表日期 | 2004 |
会议名称 | Maastricht-Cambridge Symposium 2002 |
会议录名称 | Journal of Real Estate Finance and Economics
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ISSN | 0895-5638 |
卷号 | 28 |
期号 | 2-3 |
页码 | 235-253 |
会议日期 | 2002 |
会议地点 | MAASTRICHT UNIV, LIMBURG INST FINANCIAL ECON, MAASTRICHT, NETHERLANDS |
摘要 | Asset-backed securitization (ABS) is a relatively new financial instrument in Singapore's capital market, which has been accepted by developers (originators) as an alternative source of financing. Credit assessment and rating requirements have not been imposed on the ABS bond issues. Default-risk evaluation has also been understated, if not omitted, in the process of structuring ABS deals. This is the first study that applies a theoretical default-risky swaps valuation model to evaluate credit risks in ABS bonds in Singapore. The Monte-Carlo simulation results, based on the Century Square shopping mall ABS case, show significant effects of the changes in rental volatility and default-free interest rate volatility on the default-risk premium of swap. More specifically, an increase in the rental volatility reduces the default-risky swap values significantly. However, an increase in the instantaneous default-free interest rate volatility increases the default-risk premium of swaps, and this effect is only observed in the high default-free interest rate volatility regime (above 20 percent). The results suggest that the rental dynamics of the securitized real estate are critical in determining the default risks of ABS deals. The fixed-rate (coupon yield) and floating-rate (rental cash flows) should therefore be adequately determined to reflect the default risks, which may be caused by the rental dynamics of the securitized real estate. |
关键词 | Asset-backed securitization Default risks Fixed-rate cash flows Floating-rate cash flows Swaps |
DOI | 10.1023/b:real.0000011155.30320.73 |
URL | 查看来源 |
收录类别 | SSCI ; CPCI-SSH |
语种 | 英语English |
WOS研究方向 | Business & Economics ; Urban Studies |
WOS类目 | Business, Finance ; Economics ; Urban Studies |
WOS记录号 | WOS:000187930100009 |
Scopus入藏号 | 2-s2.0-3943099961 |
引用统计 | |
文献类型 | 会议论文 |
条目标识符 | https://repository.uic.edu.cn/handle/39GCC9TT/12599 |
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.Professor of Finance and Director of Real Estate Center, University of Connecticut, USA |
推荐引用方式 GB/T 7714 | Sing, Tien Foo,Ong, Seow Eng,Fan, Gangzhiet al. Analysis of credit risks in asset-backed securitization transactions in Singapore[C], 2004: 235-253. |
条目包含的文件 | 条目无相关文件。 |
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