Pricing Credit Risk of Asset-Backed Securitization Bonds in Singapore

• Main Authors: Sing, T.F., Ong, S.E., Fan, Gang-Zhi, Lim, Kian Guan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2005
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/2718
• Institution: Singapore Management University

Asset-backed securitization (ABS) is a creative arrangement to raise funds through the issuance of marketable securities backed by predictable future cash flows from revenue-producing assets. This paper proposes two pricing models: structural model and intensity model, to value credit spreads on Sin...