資產證券化在國外已行之有年，國內自2002年7月通過「金融資產證券化條例」後，使得金融資產證券化成為資本市場籌資的一種方式；在此同時，信用卡已普遍為大眾所使用，信用擴張程度日益嚴重，整體的循環信用餘額快速成長。本研究針對信用卡應收帳款，設計證券化之定價模型；本模型使用風險中立之定價方法，並擴展Heath-Jarrow-Morton 利率模型，以適用於具有違約風險之債權，此外，並針對信用卡產業之特性，搭配市場區隔理論；再者，針對模型中重要的變數進行分析，並模擬變數變動的影響；最後，運用此一模型為信用卡債權進行評價，並設計證券化之基礎架構。 Securitization is the process of making various kinds of fixed-income securities. The authority of Taiwan has passed the law of financial asset securitization on July 2002. Hereafter securitizing is one of the manners to raise funds in the capital market. At the same time, credit card is widely used and the Revolving Credit Amount grows rapidly. In this paper, we offer a framework for modeling credit card loans with default risks. Utilizing the risk-neutral pricing methodology, we develop an arbitrage-free model for valuing Credit Card ABS. Our approach extends the Heath-Jarrow-Morton (1990) term-structure model to allow for considering default risks. We use the market segmentation argument to describe the characteristic of credit card industry. We also use numerical examples to carry out sensitivity analysis. Finally, we design the basic structure of credit card asset-backed securities.
