臺灣博碩士論文加值系統

信用衍生性商品的基本概念，簡單地說，為一種移轉信用風險的合約，一方支付風險溢價(premium)，而將標的資產的信用風險移轉給交易對手。本研究將先針對信用風險做一完整的定義，然後介紹信用衍生性金融商品。市場上主要的信用衍生性商品為: 總報酬交換（Total Return Swaps）、信用違約交換（Credit DEFAULT SWAP）、信用價差選擇權與信用連結債券(CSO及CLN)、擔保品債務憑證(CDO)。本研究將會對上述商品做詳細地介紹。
一般來說，有幾種方法可以用來評價信用違約交換，像是: Hull & White 評價模型、Copula 方法以及BET方法。本研究將分兩種產業別，分別為工業別及銀行別，並採用Garcia(2003)的Binomial Expansion Technique(BET)方法針對一籃子信用違約交換合約(Basket CDS)計算其信用評等和信用價差。經由BET方法評價後，可以得知工業別的投資組合其信用評等為A，且其信用價差為74.2bps。另一方面，銀行別的信用評等為BBB，且其信用價差為70.6bps。

The basic concept of credit derivatives is a contract which allow participants transfer their credit risks. One party agrees to pay credit premium which transfers the credit risk of underlying assets to counterparty. In the thesis, we make complete definition of credit risk and introduce credit derivatives. The fundamental credit derivatives in the market are: Total Return Swaps、Credit Default Swap、Credit spread option、Credit-Linked Notes and Collateralized debt obligation.We will completely clarify all these derivatives that are mentioned above.
There are some methods pricing credit default swap such as Hull & White model、Copula method and Binomial Expansion Technique method. We divide two industries, industrial sector and bank sector respectively, and use BET method presented by Garcia(2003) to evaluate credit rating and premium of Basket CDS. After evaluation, the ratings are A and BBB for industry and bank respectively. The spreads are 74.2bps and 70.6bps for industry and bank respectively

目錄
口試委員會審定書
中文摘要 Ⅰ
英文摘要 Ⅱ
目錄
圖表目錄 Ⅴ
第一章 緒論 P1
1.1 研究動機及目的 P1
1.2 研究架構 P2
第二章 信用衍生性金融商品 P3
2.1 信用風險 P3
2.2 信用衍生性商品之現況 P6
2.2.1 總報酬交換 P13
2.2.2 信用違約交換 P16
2.2.3 信用價差選擇權與信用連結債券 P22
2.2.4 擔保品債務憑證 P27
2.3 信用衍生性商品的風險 p47
第三章 評價模式 P49
3.1 文獻探討 P49
3.2 BET 評價方法 P59
第四章 BET 研究方法與實證分析 P61
4.1 BET方法 P61
4.2 BET 實證分析—資料選取 P68
第五章 結論與研究建議 p74
5.1 結論 p74
5.2 研究建議 p77
參考文獻 p81













圖表目錄

圖一: 全球信用衍生性商品市場規模 P7
圖二: 以標的分類信用衍生性商品圖 P9
圖三: 信用衍生性商品交易比重圖 P10
圖四: 信用衍生性金融商品的種類及成交量 P12
圖五: 總報酬交換交易架構圖 P14
圖六: 2001~2005年CDS 成長圖 P16
圖七: 信用違約交換交易架構圖 P17
圖八: 信用價差選擇權交易架構圖 P23
圖九: 信用連結票券交易架構圖 P26
圖十: C D O 運作模式 P28
圖十一: 現金結構CDO 之結構圖 P30
圖十二: 合成型CDO 結構圖 P33
圖十三: 美國自1972至1999年高收益債券違約率的統計數
P41
圖十四: 各種違約率與股本報酬率的關係 P41
圖十五: 美國高收益債券回復率統計數 P42
圖十六: 各種不同違約率下回復率對股本系列IRR之影響 p43
圖十七 : LIBOR的升降對股本系列報酬率的影響 p44
圖十八: 贖回條款對股本系列報酬率的影響 p45
圖十九: 一般高風險公司債與CDO股本系列利差狀況 p46
圖二十: Diversity Score的概念 p59
表一: 信用衍生性商品分類表 P11
表二: CDO的分類 P29
表三: CDO各系列證券結構 P36
表四: S&P對CDO債權資產回復率的假設 P39
表五: AIEUS轉換表 P63
表六: 工業別一籃子信用違約交換合約(industry) P68
表七: 工業別連結標的及個別評等 P69
表八: 工業別Diversity Score 轉換結果 P70
表九: 銀行別一籃子信用違約交換合約 (Banking) P71
表十: 銀行別連結標的及個別評等 P72
表十一: 銀行別Diversity Score 轉換結果 P73
表十二: 工業別—評價結果 P75
表十三: Corporate Bond Bullet Spreads(A-rated) P75
表十四: 銀行別—評價結果 P76
表十五: Corporate Bond Bullet Spreads(BBB-rated) P76
表十六: Idealized Moody’s default probabilities and rating factor P78
表十七: Moody’s Idealized Expected Loss p79
表十八: 評等等級轉換表 P80

參考文獻
Black, F. and J. C. Cox ,1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, pp. 351-367.

Cherubini, U., E. Luciano, and W. Vecchiato ,2004, Copula Methods in Finance, John Wiley ＆ Sons, Ltd.

Cifuentes, A. and G. O’Connor ,1996, “The Binomial Expectation Method Applied to CBO/CLO Analysis,” Moody’s Special Report, Dec 13.

Duffie, D. and K. Singleton ,1998, “Modeling Term Structure of Defaultable Bonds,” Review of Financial Studies, 12, pp.687-720.

Galiani, S. S., 2003, “Copula Functions and Their Application in Pricing and Risk Managing Multiname Credit Derivative Product,” Working paper.

Garcia, J., T. Dwyspelaere, L. Leonard, T. Alderweireld, and T. van Gestel, 2003, “Pricing Baskets Using Gaussian Copula and BET Methodology: A Market Test,” Working paper, www.geocities.com/joaogarcia18/.


Garcia, J., T. Dwyspelaere, L. Leonard, T. Alderweireld, and T. van Gestel, 2004, “On Rating Cash Flow CDO’s Using BET Technique,” Working paper.

Garcia, J., T. Dwyspelaere, L. Leonard, T. Alderweireld, and T. van Gestel, 2005, “Comparing BET and Copulas for Cash Flow CDO’s,” Working paper.

Hull, J. and A. White, 2000, ” Valuing Credit Default Swaps I:
No Counter Party Default Risk,” Journal of Derivatives.

Hull, J. and A. White, 2001, “Valuing Credit Default Swaps II:
Modeling Default Correlation,” Journal of Derivatives.

Hull, J. and A. White, 2004, “Valuation of a CDO and an N-th to Default CDS without Monte Carlo Simulation,” Journal of Derivatives.

Hull, J. and A. White, 2005, “The Perfect Copula,” Working paper.

Jarrow, R. and S. Turnbull, 1995, “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance, 50, pp.53- 85.

Jarrow, R. and F. Yu, 2001, “Counterparty Risk and the Pricing of Defaultable Securities,” Journal of Finance, 56, pp.1765- 1799.


Lucas, D., 1995, “Default Correlation and Credit Analysis,” Journal of Fixed Income, 11, pp.76-87.

Merton, R., 1974, “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, 29, pp.449-470.

Sanjiv, R. and H. Paul, 2006, “Credit Default Swap Spreads”, Journal of Investment Management, 4(3), pp.93-105.

Schmidt, T., 2006, Coping with Copulas, Risk Books, J. Rank (Ed.), Risk Books.

Sklar, A., 1959, “Functions de Repartition an N Dimensions et Leurs Marges,” Pub Inst Statisr University, Paris, pp.229-231.

Witt, G., 2004, ” Moody’s Correlated Binomial Default Distribution, Structured Finance,” Rating Methodology, Moody’s Investor Service, Aug 10th.

Zhou, C., 2001, “An Analysis of Default Correlations and Multiple Defaults,” Review of Financial Studies, 14(2), pp.555-576.