本論文是在 JLT 的基本模型之下，採用 KK 的風險溢酬修正方式，加上
Kodera
對轉移機率矩陣增加了一個隨機變數去驅動，用來修正其信用價差的評價，
以貼近我們在實務上所觀察到的現象，並且利用實證模擬給予佐證。

This thesis is based on the Markov model , which is proposed by
Jarrow , Lando , and Turnbull in 1997. We use the risk premium
proposed by Kijima and Komoribayashi in 1998. And use the method
proposed by Kodera in 2001 to increase a nonnegative random
variable for the transition matrix to improve the behavior of
credit spread . Finally, we
do some empirical studies.

摘要
第一章 緒論............................1
第二章 數學預備知識.....................4
第一節 馬可夫過程.................4
第二節 布朗運動與平賭..............8
第三節 It'o Formula..............15
第四節 機率測度轉換................16
第三章 離散馬可夫模型與信用風險評價........19
第一節 離散馬可夫模型與信用風險......19
第二節 JLT 模型....................20
第三節 KK 模型.....................30
第四節 Kodera 模型.................34
第四章 數值模擬.....................42
第五章 結論與建議.........................45

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