서지주요정보
무수익자산 유동화증권 가격결정에 관한 실증분석 = An empirical analysis of pricing of asset-backed securities based on non-performing loans
서명 / 저자 무수익자산 유동화증권 가격결정에 관한 실증분석 = An empirical analysis of pricing of asset-backed securities based on non-performing loans / 김성훈.
저자명 김성훈 ; Kim, Sung-Hoon
발행사항 [대전 : 한국과학기술원, 2004].
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등록번호

8015355

소장위치/청구기호

학술문화관(문화관) 보존서고

MGSM 04057

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9009695

소장위치/청구기호

서울 학위논문 서가

MGSM 04057

SMS전송

도서상태

이용가능

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초록정보

The purpose of this thesis is to examine the valuation of Asset-Backed Securities(ABS) based on Non-Performing Loans(NPL) by comparing the cash flow from the underlying assets and the ABS. The Jarrow & Turnbull model was used to obtain the price of the NPL ABS, which was discounted with a binomial spot interst rate developed by Black, Derman and Toy. The results of the empirical analysis show that in case of a bond with a high credit grade, pricing by using the Jarrow & Turnbull model is almost perfect for explaining the issuing price of the bond based on the non-performing loans. However, in case of a bond with a low credit grade, the Jarrow & Turnbull model is not suitable for explaining the issuing price.

서지기타정보

서지기타정보
청구기호 {MGSM 04057
형태사항 v, 59 p. : 삽도 ; 26 cm
언어 한국어
일반주기 저자명의 영문표기 : Sung-Hoon Kim
지도교수의 한글표기 : 강장구
지도교수의 영문표기 : Jang-Koo Kang
학위논문 학위논문(석사) - 한국과학기술원 : 금융공학전공,
서지주기 참고문헌 : p. 57-59
주제 무수익자산
부실여신
유동화증권
가격결정
실증분석
NON-PERFORMING LOANS
ABS(ASSET-BACKED SECURITIES
PRICING
EMPIRICAL ANALYSIS
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