臺灣博碩士論文加值系統

信用衍生性商品為一項極新的商品，除了可以規避標的物的信用風險之外，還具有增加投資利潤等優點，應用非常廣泛，因此近幾年來快速的成長。其中，信用連結票券為信用衍生性商品的一種，可以讓發行債務的人規避其信用風險，且為信用衍生性商品中成長最快速的一種工具之一。在實務上，信用連結票券可以由具風險的金融機構或一破產隔離的特殊目的機構來發行，基於此理由，本篇論文將假設發行機構為不具有信用風險的特殊目的機構以簡化模型。此篇文章除了使用Merton(1974) 架構之外，還另外延伸首次通過模型(FPM)來發展信用連結票券評價模型，為一個封閉解模型，解決了Hui and Lo(2001)模型中只允許公司在到期時才能發生違約的缺點。此外，本研究亦進行模擬分析，比較Merton模型與首次通過模型之風險特性，並且使用台灣上市電子公司的實際資料，進行信用連結票券的信用價差估計。

Credit derivatives is a brand-new product, which is used very extensively. It can be not only hedge credit risk of underlying assets, but also increase the return of investment, and so on. Therefore, it grows up very rapidly. A credit-linked note is one type of credit derivatives that can be used by debt issuers to hedge against their credit risk, and is one of the instrument which grows up fastest. In practice, credit-linked note can be issued by financial institutions with credit risk or a special purpose vehicle. For this reason, we assume credit-linked note is issued by SPV to simplify model in our research. This paper develops a simple model to price credit-linked notes using the framework of Merton’s and first-passage-time model. This model solves the disadvantage of model developed by Hui and Lo(2001) which restricts firms default just at maturity. In addition, by using a numerical simulation method, we compare Merton’s model and first-passage-time model to understand their characteristics of risk, and using market data of listed electronics companies to estimate credit spread of credit linked note.

目 錄

中文摘要 i
英文摘要 ii
誌謝 iii
表目錄 vi
圖目錄 vii
第一章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 3
第二章 文獻探討 4
2.1 信用連結票券介紹 4
2.2 違約強度模型 5 2.3 結構模型 6
第三章 模型設定 10
3.1 Merton(1974)模型 10
3.2 首次通過模型 12
第四章 數值分析 17
4.1 數值模擬分析 17
4.2 估計 24
4.3 市場實際資料分析 26
第五章 結論與建議 37
參考文獻 38
附錄1 40

表目錄
表4.1 各公司市場實際資料 27
表4.2 各公司信用連結票券之信用價差（無財務危機公司）-Merton 29
表4.3 各公司信用連結票券之信用價差（有財務危機公司）-Merton 31
表4.4 各公司信用連結票券之信用價差（無財務危機公司）-FPM 33
表4.5 各公司信用連結票券之信用價差（有財務危機公司）-FPM 35

圖目錄
圖2.1 信用連結票券結構 5
圖4.1 Merton模型-Delta 18
圖4.2 首次通過模型-Delta 18
圖4.3 Merton模型-Gamma 18
圖4.4 首次通過模型-Gamma 18
圖4.5 Merton模型-Rho 18
圖4.6 首次通過模型-Rho 18
圖4.7 Merton模型-Theta 19
圖4.8 首次通過模型-Theta 20
圖4.9 Merton模型-Vega 20
圖4.10 首次通過模型-Vega 20
圖4.11公司資產變動對信用連結票券價格的影響 22
圖4.12無風險利率變動對信用連結票券價格的影響 22
圖4.13發行時間長短對信用連結票券價格的影響 23
圖4.14公司資產波動度對信用連結票券價格的影響 23
圖4.15門檻值高低對信用連結票券價格的影響 24
圖4.16各公司信用連結票券之信用價差（無財務危機公司）-Merton 30
圖4.17各公司信用連結票券之信用價差（有財務危機公司）-Merton 32
圖4.18各公司信用連結票券之信用價差（無財務危機公司）-FPM 34
圖4.19各公司信用連結票券之信用價差（有財務危機公司）-FPM 36

英文部分
[1]Harison, J. M., Brownian Motion And Stochastic Flow Systems, Krieger Publishing Company, Fla. 1990.
[2]Black, F., and H.C. Cox, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance 31, 351-367, 1976.
[3]Black, F., and Scholes, M., “The Pricing of Options and Corporate Liabilities,” Journal of Political Economy 81, 637-654, 1973.
[4]Elizalde, A., Credit Risk ModelsⅡ：Structural Models,” available at www.cemfi.es/~elizalde.
[5]Geske, R., “The Valuation of Corporate Liabilities as Compound Options,” Journal of Financial and Quantitative Analysis 12 , 541-552, 1977.
[6]Giesecke, K., “Correlated Default with Incomplete Information,” Working Paper , Department of Economics, Humboldt-Universitát, Berlin, 2002.
[7]Giesecke, K., “Successive Correlated Defaults: Pricing Trends and Simulation,” Working Paper , Cornell Universitát, 2003.
[8]Hui C. H., and Lo C. F. “Effect of Asset Value Correlation on Credit-Linked Note Values,” International Journal of Theoretical and Applied Finance 5, 455-478, 2002.
[9]Jarrow, R., and Turnbull, S., “Pricing Derivatives on Financial Securities Subject to Credit Risk, ” Journal of Finance 50, 23-86, 1995.
[10]Jeffrey, R. Bohn, “Using marketing data to value credit risk instruments”, KMV corporation, 27-Sept, 1999.
[11]Kim, I. J., Ramaswamy, K., and Sundaresan, S. M., “Valuation of Corporate Fixed-Income Securities,” Financial Management , Autumn, 117-131, 1993.
[12]Leland, H. E., “Risky Debt, Bond Covenants and Optimal Capital Structure,” Journal of Finance 49, 1213-1252, 1994.
[13]Leland, H. E., and Toft, K. B., “Optimal Capital Structure, Endogenous Bankruptcy and the Term Structure of Credit Spreads,” Journal of Finance 50, 789-819, 1995.
[14]Longstaff, F.A., and Schwartz, E.S., “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt,” Journal of Finance 50, 789-819, 1995.
[15]Miller M., and F. Modigliani. “The Cost of Capital, Corporation Finance, and the Theory of Investment,” American Economic Review, June, 1958.
[16]Merton, R.C., “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance 29, 449-70, 1974.
[17]Nielsen, L. T., Saá-Requejo, J., and Santa-Clara, P., “Default Risk and Interest Rate Risk: The Term Structure of Default Risk,” Working Paper, INSEAD, 1993.
[18]Ronn, E. I., and Verma, A. K., “Pricing Risk-Adjusted Deposit Insurance: An Option Based Models,” Journal of Finance 41, 871-895, 1986.
[19]Saá-Requejo, J., and Santa-Clara, P., “Bond Pricing with Default Risk,” Working Paper, UCLA, 1997.
[20]Zhou, C.,“An Analysis of Default Correlations and Multiple Defaults,” Review of Financial Studies 14, 555-576, 2001.

中文部分
[21]李穎中，考量市場及信用風險交互影響下，首家違約之信用連結式票券之訂價，國立高雄第一科技大學財務管理所碩士論文，民國93年。
[22]張瑞珍，信用連結票券之評價，國立暨南國際大學管理學院財務金融學系碩士論文，民國93年。
[23]張嘉倩，市場與信用風險交互下結構型信用連結票券之評價，國立高雄第一科技大學財務管理所碩士論文，民國92年。

參考網站
[24]國際交換暨衍生性商品學會（ISDA）：http://www.isda.org/
[25]英國銀行學會（BBA）：http://www.bba.org.uk/
[26]信用衍生性商品網站：http://credit-deriv.com/