本文主要探討一籃子信用連結債券違約機率與標的債券違約相關性之關聯。使用Brace, Gatarek and Musiela (BGM, 1997)的利率模型建構遠期利率樹，利用信用連結債評價公式去反推一籃子信用連結債在發行日隱含的違約機率。而本文總共討論288張一籃子信用連結債之違約機率，標的債券包括10個產業，24張債券之組合。由於不同債券組合間債券之違約相關性不同，因此，我們可以將債券之違約相關性與信用違約交換(CDS)違約機率作一連結。由於債券之違約相關性無法取得，因此，本文採用CreditMetrics, KMV模型等模型之假設，也就是以股票報酬率之相關性來替代舉債公司的違約相關性。
本文將信用連結債違約機率分成兩類來討論：第一類是首次違約一籃子信用連結債(First to basket CLN)，指只要投資組合中有一個資產違約，則信用連結債就算發生違約。第二類是同時違約一籃子信用連結債(Second to basket CLN)，指投資組合中要同時有兩個資產違約，信用連結債才算發生違約。
實證結果發現，以兩兩債券作為債券群組的違約相關程度與ㄧ籃子信用連結債的違約機率呈現負向相關。並且同時違約信用連結債的違約機率小於首次違約信用連結債。再將288個投資組合依產業來分類，發現，工業與其他產業的違約相關性有56%是在0.3以上，故本文認為在投資組合中加入工業可以降低信用連結債券的違約機率。

This thesis focused on the relevance between baskets of the credit default rate of credit linked notes and credit default relation of underlying bond. We use Brace, Gatarek and Musiela (BGM, 1997) to model the long-term interest rate tree, and utilize the evaluation formula of credit linked note to infer the invisible credit default rate of the basket of credit linked notes in release date. There are 288 of the credit default rate of the basket of credit linked notes, 10 industries of underlying bonds, and 24 of portfolio bonds to investigate in this thesis. Due to the discrepancy of the credit default relation in different portfolio bonds, we can link the credit default relation of portfolio bonds and the credit default rate of CDS together. The thesis use the model of Credit Metrics, KMV to assume the relationship of the rate of stock return instead of the credit default relation of debt financing company because the data of the credit default relation of portfolio bonds cannot be find.
The thesis classified the credit linked notes into two parts: one is first to basket CLN, which means the credit linked notes break the contract when one of the investment combinations breaks the contract. The second type is Second to basket CLN, refers to that the contract will be break if there are two of the investment combinations break the contract at the same time.
Empirical results showed it related to the negative correlations between the credit default relation of the bonds group which based on dual bonds and the credit default of the basket of the credit linked notes, and the credit default rate of the basket of the credit linked notes is lower than first to basket CLN. We allocated 288 investment combination by industry department after the first step of the classified, and found out that the credit default relation of the industry and industrial department has 56 percents are more than 0.3, so that the thesis would have industrial department in investment combination to decrease the credit default rate of credit linked notes.

中文摘要 i
ABSTRACT ii
誌謝 iii
目錄 iv
表目錄 vi
圖目錄 viii
第一章 緒論 1
第一節 研究動機 1
第二節　　研究目的 2
第三節 研究架構 4
第二章 文獻回顧 5
第一節 信用風險模型 5
第二節 　利率模型之介紹 11
第三章 研究方法 18
第一節 BGM模型之介紹 18
第二節 遠期利率樹之建構 22
第三節 遠期利率波動度之估計 25
第四章 資料來源與實證分析 27
第一節 　資料來源及利率樹之建構 27
第二節 　樣本選取 35
第三節 　建構一籃子CLN 42
第四節 　估計違約機率(PD) 43
第五節 　實證結果 52
第五章 結論 53
參考文獻 54
附錄一：24家公司的違約相關係數 56
附錄二：平均過後的投資組合信用價差 57
附錄三：兩兩公司的平均回復率 58

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