| dc.contributor.advisor | 胡聯國 | zh_TW |
| dc.contributor.author (作者) | 林怡潔 | zh_TW |
| dc.creator (作者) | 林怡潔 | zh_TW |
| dc.date (日期) | 2003 | en_US |
| dc.date.accessioned | 18-九月-2009 18:54:49 (UTC+8) | - |
| dc.date.available | 18-九月-2009 18:54:49 (UTC+8) | - |
| dc.date.issued (上傳時間) | 18-九月-2009 18:54:49 (UTC+8) | - |
| dc.identifier (其他 識別碼) | G0090351027 | en_US |
| dc.identifier.uri (URI) | https://nccur.lib.nccu.edu.tw/handle/140.119/36585 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 國際經營與貿易研究所 | zh_TW |
| dc.description (描述) | 90351027 | zh_TW |
| dc.description (描述) | 92 | zh_TW |
| dc.description.abstract (摘要) | 本篇論文將Kariya, Ushiyama, and Pliska三位學者在2003所發表之三因子不動產證券化評價模型加入信用風險(credit risk)的考量. | zh_TW |
| dc.description.abstract (摘要) | In this paper, we extend Kariya, Ushiyama, and Pliska’s three factor mortgage-backed securities pricing model with credit risk. In our model, two reasons that cause prepayment behaviors are the refinancing factor and the equity factor. Our pricing model is a discrete-time model, and the credit risk is priced due to the concept of reduced form model. We also use Monte Carlo simulation to test our theoretical value and make some comparisons between changing parameters. | en_US |
| dc.description.tableofcontents | 1. Introduction 1 2. Cash flow with prepayment 9 3. Credit risk 13 3.1 Structural approach model or firm value model 13 3.2 Reduced firm model 17 4. Three factor model with credit risk 22 5. Monte Carlo Simulation: method 28 6. Monte Carlo Simulation: result 31 6.1 Comparison of three factor MBS model without and with credit risk 36 6.2 The threshold parameters on the MBS prices 36 6.3 Parameters on the housing price 38 7. Conclusions 40 Reference 42 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0090351027 | en_US |
| dc.subject (關鍵詞) | MBS | en_US |
| dc.subject (關鍵詞) | credit risk | en_US |
| dc.title (題名) | A three factor model for MBS with credit risk | zh_TW |
| dc.type (資料類型) | thesis | en |
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