Research on Asset Securitization of Highway’s Earning Right
YAN Yan, GU Yalu, ZHU Xiaowu
School of Economics and Management , University of Chinese Academy of Sciences; Key Laboratory of Big Data Mining and Knowledge Management,Chinese Academy of Sciences; Business School ,China University of Political Science and Law
Abstract:
This article puts focus on the expressway securitization while ABN is designed with expressways’ earning rights as its underlying assets. The issuance size and coupon rate of ABN are decided by the expected revenues of expressway and term structure of interest rate. The ABN’s interest rate risks are discussed in the end.
Dong J. C., J.X. Liu, C.H. Wang, H. Yuan and W. J. Wang, 2009, “Pricing Mortgage-Backed Security: An Empirical Analysis,” Systems Engineering-Theory & Practice, 29(12):46~52.
[13]
Dunsky R. M. and T. S. Ho, 2007, “Valuing Fixed Rate Mortgage Loans with Default and Prepayment Options,” The Journal of Fixed Income, 16(4):7~31.
[14]
Fabozzi, F. J., 2007, “Fixed Income Analysis (Vol. 6),” John Wiley & Sons.
[15]
Fan G. Z., T.F. Sing and S.E. Ong, 2012, “Default Clustering Risks in Commercial Mortgage-Backed Securities,” Journal of Real Estate Finance and Economics, 45(1):110~127.
[16]
Fermanian J. D., 2013, “A Top-Down Approach for Asset-Backed-Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks,” Journal of Real Estate Finance and Economics, 46(3):480~515.
[17]
Hürlimann W., 2012, “Valuation of Fixed and Variable Rate Mortgages: Binomial Tree versus Analytical Approximations,” Decisions in Economics and Finance, 35(2):171~202.
[18]
Jacob D. P., T. C. H. Hong and L. H. Lee, 2000, “An Options Approach to Commercial Mortgages and CMBS Valuation and Risk Analysis,” The Handbook of Non-agency Mortgage-backed Securities, 2nd:465~495.
[19]
Liu Z. Y., G.Z. Fan and K. G. Lim, 2009, “Extreme Events and the Copula Pricing of Commercial Mortgage-backed Securities,” The Journal of Real Estate Finance and Economics, 38(3):327~349.
[20]
Nelson C. and A. F. Siegel, 1987, “Parsimonious Modeling of Yield Curves,” Journal of Business, 60(4):473~489.
[21]
Sharp N. J., D.P. Newton and P.W. Duck, 2008, “An Improved Fixed-rate Mortgage Valuation Methodology with Interacting Prepayment and Default Options,” The Journal of Real Estate Finance and Economics, 36(3):307~342.
[22]
Svensson, L. E., 1994, “Estimating and Interpreting forward Interest Rates: Sweden 1992-1994,” National Bureau of Economic Research. No. w4871.
[23]
Qian X. S., L.S. Jiang, C. L. Xu and S. Wu,2012, “Explicit Formulas for Pricing of Callable Mortgage-backed Securities in a Case of Prepayment Rate Negatively Correlated with Interest rates,” Journal of Mathematical Analysis and Applications, 393(2):421~433.
