The Valuation of Auto Loan-backed Securities

• Main Authors: Lin Yu-Hung, 林育虹
• Other Authors: Cary Lin
• Format: Others
• Language: zh-TW
• Published: 2003
• Online Access: http://ndltd.ncl.edu.tw/handle/23793370459813647508

碩士 === 國立交通大學 === 管理科學系 === 91 === This study attempts to provide a more accurate method to evaluate auto loan-backed securities (auto ABS) and to investigate its features as well. In this study, a constant prepayment measure is employed to describe the pattern of auto-loan prepayments due to specific characteristics of stable prepayment and short average-life of instruments. Besides, to simulate interest rate path, this study chooses BDT (Black-Toy-Derman) interest rate model together with Z-spreads on auto issues. Based on the valuation model conducted, this goal of this study is to price not only for auto-loan pass-though structure but also for auto-loan tranched structure. More importantly, a sensitivity analysis is designed to further investigate as to how the price changes as market conditions and macroeconomic environments vary. The results evidence that there exists a negative relationship between the price of an auto ABS and the market interest rate. Meanwhile, the price of an auto ABS exhibits a positive (negative) relationship with prepayment measure when it is issued at a discount (premium).