The Valuation Analysis of Credit Card Securities
|關鍵字:||信用卡債權證券;Credit Card Securities|
The credit card market has grown fast and significantly in the last few years. As this market continues to expand, the credit card issuing institution has to broaden funding source via issuing credit card security to increase the liquidity. Based on this need, the purpose of this study is to introduce the flow chart and mechanism of issuing credit card security and to further value the price of credit card security under four different amortization structures, including pass-through (single and master trusts), controlled-amortization, and bullet-payment structures. The valuation model is comprised of a CIR stochastic interest rate process, monthly payment rate, and portfolio yield, all of which jointly determines the future cash flows and the rate to discount these cash flows for each of the above four structures. More importantly, a sensitivity analysis is conducted to investigate the price of a credit card security changes when the market conditions and pooling factors are allowed to vary. Within this study, the optimal pricing structure of the credit card security could be found. Furthermore, this study also applies the same pricing techniques to the case of Taiwan. The implication of this work is potentially useful for credit card originators who are also the issuer of the credit card security.