科研成果详情

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
ISSN0895-5638
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
DOI10.1023/b:real.0000011155.30320.73
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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
被引频次:5[WOS]   [WOS记录]     [WOS相关记录]
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.
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