Analysis of Credit Risks in Asset-Backed Securitization Transactions in Singapore

Analysis of Credit Risks in Asset-Backed Securitization Transactions in Singapore Asset-backed securitization (ABS) is a relatively new financial instrument in Singapore's capital market, which has been accepted by developers (originators) as an alternative source of financing. Credit assessment and rating requirements have not been imposed on the ABS bond issues. Default-risk evaluation has also been understated, if not omitted, in the process of structuring ABS deals. This is the first study that applies a theoretical default-risky swaps valuation model to evaluate credit risks in ABS bonds in Singapore. The Monte-Carlo simulation results, based on the Century Square shopping mall ABS case, show significant effects of the changes in rental volatility and default-free interest rate volatility on the default-risk premium of swap. More specifically, an increase in the rental volatility reduces the default-risky swap values significantly. However, an increase in the instantaneous default-free interest rate volatility increases the default-risk premium of swaps, and this effect is only observed in the high default-free interest rate volatility regime (above 20 percent). The results suggest that the rental dynamics of the securitized real estate are critical in determining the default risks of ABS deals. The fixed-rate (coupon yield) and floating-rate (rental cash flows) should therefore be adequately determined to reflect the default risks, which may be caused by the rental dynamics of the securitized real estate. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Real Estate Finance and Economics Springer Journals

Analysis of Credit Risks in Asset-Backed Securitization Transactions in Singapore

Loading next page...
 
/lp/springer_journal/analysis-of-credit-risks-in-asset-backed-securitization-transactions-b9cp7GC7zc
Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2004 by Kluwer Academic Publishers
Subject
Economics; Regional/Spatial Science; Financial Services
ISSN
0895-5638
eISSN
1573-045X
D.O.I.
10.1023/B:REAL.0000011155.30320.73
Publisher site
See Article on Publisher Site

References

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 12 million articles from more than
10,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Unlimited reading

Read as many articles as you need. Full articles with original layout, charts and figures. Read online, from anywhere.

Stay up to date

Keep up with your field with Personalized Recommendations and Follow Journals to get automatic updates.

Organize your research

It’s easy to organize your research with our built-in tools.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

Monthly Plan

  • Read unlimited articles
  • Personalized recommendations
  • No expiration
  • Print 20 pages per month
  • 20% off on PDF purchases
  • Organize your research
  • Get updates on your journals and topic searches

$49/month

Start Free Trial

14-day Free Trial

Best Deal — 39% off

Annual Plan

  • All the features of the Professional Plan, but for 39% off!
  • Billed annually
  • No expiration
  • For the normal price of 10 articles elsewhere, you get one full year of unlimited access to articles.

$588

$360/year

billed annually
Start Free Trial

14-day Free Trial