臺灣博碩士論文加值系統

在完整的評等制度之下，任何債權契約或資產除了面臨因債權契約的債務人無法在契約
到 期日履行其債務而產生的違約風險外，尚面臨因該債權契約或資產之信用評等等級的
改變，而使債權契約或資產價格變化所產生的信用風險。本論文即以J.P. Morgan公司所
開發的 CreditMetricsTM產品為架構，發展完整衡量債權契約或資產所面臨之信用風險
的模型。 並用此信用風險的衡量結果，及使用Black and Scholes模型及學者Longstaf
f and Schwartz發展的Vasicek模型，來推展同時考慮違約風險及因信用等級改變
時資產價值變動 的信用風險之各種債權契約或資產的評價。而在得到債權契約或資產信
用風險的衡量結果 後，即考慮在多個債權契約或資產的組合下，如何去降低其所面臨的
信用風險，達到風險 分散的效果，以有效的管理該債權契約或資產組合。並且考慮在維
持原有債權契約或資產 下，使用信用衍生金融商品來做其債權契約或資產之信用風險的
規避。 而最後，並利用所發展的信用風險衡量與債權資產評價的結果
，來做信用衍生金融商品的 評價，以提供其在市場上交易價格的參考，並提供給債權人
對其債權契約或資產管理決策 的參考依據。

The main configuration of this research is to use a portfolio credit risk
approach of CreditMetrics quantifies credit risks that arise due to increa
sed exposure to an obligor or a group of correlated obligors.
In this research, the credit risk includes not just default or insol
vency risk but also changes in credit spreads and thereby market values, cha
nges in credit ratings, and generic changes in credit quality. And foll
ow this concept, this research has some issues as follows：
1、Use certain model to measure credit risk of any bonds、lo
ans、receivables and derivatives whose value exposures are affected by the
credit risk.
2、Use Black & Scholes and Vasicek model to extend the a
sset pricing under the credit risk, which includes bonds pricing、loans pric
ing、receivables pricing and derivatives pricing.
3、Introduce how to use this credit risk model to
help obligees or investors to manage their assets'' credit exposures.
4、Introduce credit derivatives and develop new credit
derivatives to help obligees or investors to hedge、
diversify a
and gain access to credit exposures.
5、Use the result of the credit risk model
and asset pricing to develop the pricing model of credit derivatives.