課程資訊
課程名稱
資產證券化概論
INTRODUCTION TO ASSET SECURITIZATION 
開課學期
96-1 
授課對象
管理學院  財務金融學系  
授課教師
廖咸興 
課號
Fin5014 
課程識別碼
723 U3500 
班次
 
學分
全/半年
半年 
必/選修
選修 
上課時間
星期三6,7,8(13:20~16:20) 
上課地點
管一103 
備註
財金系所學生優先
限學士班三年級以上
總人數上限:100人
外系人數限制:30人 
Ceiba 課程網頁
http://ceiba.ntu.edu.tw/961SEC 
課程簡介影片
 
核心能力關聯
核心能力與課程規劃關聯圖
課程大綱
為確保您我的權利,請尊重智慧財產權及不得非法影印
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. 

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. 
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.
 
預期每週課後學習時數
 
Office Hours
每週二 14:00~17:00 
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. Frank J. Fabozzi,The Handbook of Fixed Income Securities,5th ed.
McGraw-Hill ,2004.
 
指定閱讀
 
評量方式
(僅供參考)
 
No.
項目
百分比
說明
1. 
期中考 
40% 
 
2. 
期末考 
40% 
 
3. 
隨堂測驗 
0% 
 
4. 
作業 
20% 
 
5. 
報告 
0% 
 
 
課程進度
週次
日期
單元主題
第1週
9/19  Introduction 
第2週
9/26  MPTs (I) 
第3週
10/03  MPTs(II) 
第4週
10/10  No class 
第5週
10/17  MBS Pricing 
第6週
10/24  CMO(I) 
第7週
10/31  CMO(II) 
第8週
11/07  CMO(III);Assignment announced 
第9週
11/14  Mid-term EXAM 
第10週
11/21  CMBS; Auto-ABS 
第11週
11/28  Auto ABS;Credit card ABS;  
第12週
12/05  Credit card ABS; ABCP 
第13週
12/12  ABCP-HELBS 
第14週
12/19  CDO/CBO/CLO 
第15週
12/26  Real Estate Securitization 
第16週
1/02  Real Estate Securitization 
第17週
1/09  Basel II and Securitization and Review