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課程名稱 |
資產證券化概論
INTRODUCTION TO ASSET SECURITIZATION |
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開課學期 |
95-1 |
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授課對象 |
管理學院 財務金融學研究所 |
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授課教師 |
廖咸興 |
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課號 |
Fin5014 |
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課程識別碼 |
723 U3500 |
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班次 |
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學分 |
3 |
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全/半年 |
半年 |
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必/選修 |
選修 |
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上課時間 |
星期一2,3,4(9:10~12:10) |
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上課地點 |
管壹101 |
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備註 |
本系所學生優先。
限學士班三年級以上
總人數上限：110人
外系人數限制：50人 |
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Ceiba 課程網頁 |
http://ceiba.ntu.edu.tw/951SEC |
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課程簡介影片 |
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核心能力關聯 |
核心能力與課程規劃關聯圖 |
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課程大綱
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為確保您我的權利,請尊重智慧財產權及不得非法影印
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課程概述 |
Asset securitization becomes an important financing technique recently. This
course will introduce the principles, structures, and investment
characteristics of several major types of asset securitization. They include
residential mortgage backed securities, commercial mortgage backed securities,
auto loan backed secutities, credit card ABS, Asset-backed commercial
paper (ABCP), Housing equity loan backed secutities, CBO/CLO/CDO, and real
estate backed securities. In addition, this course will also discuss the
impact of new Basel Accord (Basel II) on asset securitiation. |
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課程目標 |
Asset securitization becomes an important financing technique recently. This
course will introduce the principles, structures, and investment
characteristics of several major types of asset securitization. They
include residential mortgage backed securities, commercial mortgage backed
securities, auto loan backed secutities, credit card ABS, Asset-backed
commercial paper (ABCP), Housing equity loan backed secutities, CBO/CLO/CDO,
and real estate backed securities. In addition, this course will also discuss
the impact of new Basel Accord (Basel II) on asset securitiation. |
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課程要求 |
1. The course grades will be based on the following elements:
Mid-term Exam 40%
Final Exam 40%
Homework and Participation 20%
2. There will be no make-up exams in this course unless you encounter
extremely emergent situations.
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預期每週課後學習時數 |
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Office Hours |
每週二 14:00~17:00 |
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指定閱讀 |
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參考書目 |
1. Wen-dar Chen, Hsien-hsing Liao, and Ahyee Lee, Asset Securitization.
Theory and Practice, 2002, Taipei: BestWise Co. Ltd.
2. Handouts
3. Frank J. Fabozzi，The Handbook of Fixed Income Securities，5th ed.
McGraw-Hill ，2004. |
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評量方式
(僅供參考) |
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No. |
項目 |
百分比 |
說明 |
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1. |
期中考 |
40% |
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2. |
期末考 |
40% |
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3. |
隨堂測驗 |
0% |
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4. |
作業 |
20% |
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5. |
報告 |
0% |
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週次 |
日期 |
單元主題 |
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第1週 |
9/18 |
Introduction
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第2週 |
9/25 |
MPTs (I) |
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第3週 |
10/2 |
MPTs(II) |
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第4週 |
10/23 |
MBS Pricing |
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第5週 |
10/30 |
CMO(I) AM8:10-12:00 |
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第6週 |
11/06 |
CMO(II) AM8:10-12:00 |
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第7週 |
11/08 |
CMO(III) PM6:10-9:00 (講義同前）
(在原教室 管壹101補課) |
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第8週 |
11/13 |
CMBS AM8:10-12:00
Auto ABS |
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第9週 |
11/20 |
Mid-term Exam |
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第10週 |
11/27 |
Credit card ABS;作業 |
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第11週 |
12/04 |
Card; ABCP |
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第12週 |
12/06 |
ABCP |
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第13週 |
12/11 |
HEL-CDO |
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第15週 |
12/25 |
Real Estate Securitization |
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第17週 |
1/08 |
Basel II; REIT-CASE |
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