臺灣博碩士論文加值系統

信用違約交換(Credit default swap; CDS)的價差主要決定於公司的信用風險。將不同信用參考實體公司的CDS組成CDX指數，其指數的價差則主要決定於整體的大環境之信用風險。而組成的CDX指數又因其參考實體的成份不同而有不同的特性。本研究之研究主題為探討CDX指數市場中，哪些財務金融變數與總體經濟變數對CDX指數的價差有顯著之影響，進而預測未來CDX指數的變動，若能正確預測CDX指數的走向，對分析整體金融環境的信用風險將有莫大的幫助。參考先前文獻，蒐集過去對於信用價差與金融市場、總體經濟因子相關性探討之文獻找出供本研究所使用之自變數，共計27個。
針對八個CDX指數價差做敘述統計，也發現平均的報酬越高風險自然也就越高、高波動的確風險較高價差相對也較大、多角化的資產池風險較小價差也較小、評等越低風險越大價差也越大。使用逐步回歸的方式來選擇模型的變數，實證結果也如同Merton所提出的違約距離的概念，當資產的報酬率越高則公司的違約機率也就越低；而公司的波動性越高則公司的違約機率也就越高。而就模型設計部分，非線性模型解釋能力較佳，較能表達信用價差的變動；同時非線性模型也表達了，當自變數越來越大時，變數的影響力是逐漸遞減的。

Credit default swap spread is determined by firm’s credit risk.CDX index is composed of the different credit reference entity’s CDS, and CDX index spread is determined by the credit risk of the economic system. There are different characteristics because its composition of the reference entity is different in the CDX index. This paper discusses CDX index market, which financial variables and macroeconomic variables have influence on CDX index spread, and predicts the variation of CDX index spread. If we can predict the trend of CDX index spread exactly, it will give us greatest help to analyze the credit risks of the financial environment. Reference the other paper, collected and found out the financial market and macroeconomic independent variable which this paper used to find credit spread .It is 27 altogether.
Using descriptive statistics to analyzing eight CDX index spread, we find the higher risk CDX index spread the higher average return. High volatility really accompanies high credit spread. Diversified assets pool has lower risk and lower credit spread. The lower credit rating has more risk and more spread. Use the stepwise regression to find out the model variables. A significant inverse relationship between CDX index spread and equity return is found. A significantly positively correlated with return volatility. In designing model, non-linear model explains ability is relatively good, can relatively express the change of the credit spread; At the same time the non-linear model has been expressed too, when the independent variable is bigger and bigger, the influence power of the parameter decreases progressively gradually.

目錄
壹、緒論 1
貳、CDX INDEX契約與CDO介紹 2
一、CDX INDEX 契約 2
二、擔保債權憑證(collateralized debt obligations, CDO)之介紹 5
參、文獻回顧 8
一、針對CDX INDEX的研究 8
二、影響CDS 價差因素的研究 9
肆、研究方法 13
一、逐步迴歸模式(Stepwise Regression)簡介 14
二、多元迴歸模型 14
伍、研究結果 16
一、研究期間及資料來源 16
二、迴歸分析 18
陸、結論與建議 27
一、結論 27
二、建議 28
參考文獻 28








圖目錄
圖 1 CDO的分類 31
圖 2 合成CDO的架構 31
圖 3 每一個系列的組成 32


表目錄
表 1 目前流通在市場上的CDS指數契約(括弧內為參考實體的數目) 33
表 2 美國資產擔保證券化ABS發行金額 單位：千萬元美金 34
表 3 台灣資產證券化發行總額 單位：件;百萬元台幣 34
表 4 CDS index統計量 (unit: bps)日 35
表 5 CDS index統計量(unit: bps)月 35
表 6 使用逐步迴歸挑選出日資料財務市場變數： 36
表 7 使用逐步迴歸挑選出月資料財務市場變數與總體經濟變數： 37
表 8 日資料IG HOVL迴歸結果 38
表 9 日資料IG迴歸結果 39
表 10 日資料EM迴歸結果 40
表 11 日資料EM DIV迴歸結果 41
表 12 日資料HY BB迴歸結果 42
表 13 日資料HY B迴歸結果 43
表 14 日資料HY 迴歸結果 44
表 15 日資料XO 迴歸結果 45
表 16 月資料IG HVOL和IG迴歸結果 46
表 17 月資料EM和EM DIV迴歸結果 47
表 18 月資料HY、HY B、HY BB迴歸結果 48
表 19 月資料XO迴歸結果 49

英文部分
Aunon-Nerin, D., D. Cossin, T. Hricko, and Z. Huang. 2002. “Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Market''s Information Sufficient to Evaluate Credit Risk?” Research Paper No. 65, Foundation for the Advancement of Monetary Education.
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Duffie, D., and N. Garleanu, 2001, “Risk and Valuation of Collateralized Debt Obligations,” Financial Analyst Journal, Vol. 57, No. 1, pg. 41-59.
Eckner, A., 2007, “Risk Premia in Structured Credit Derivatives,” Working paper
Ericsson, J., K. Jacobs, and R. Oviedo-Helfenberger, 2004, “The Determinants of Credit Default Swap Premia,” Working paper, McGill University.
Fama, E. F., and K. R. French, 1989, “Business Conditions and Expected Returns on Stocks and Bonds,” Journal of Financial Economics, Vol. 25, No. 1, pg. 23-49.
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Longstaff, F.A., S. Mithal, and E. Neis. 2003, “The Credit-Default Swap Market: Is Credit Protection Priced Correctly” Working paper. University of California at Los Angeles.
Longstaff, F.A., and A. Rajan, 2006, “An Empirical Analysis of the Pricing of Collateralized Debt Obligations,” Forthcoming in Journal of Finance.
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Merton, R. 1974. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,” Journal of Finance, Vol. 29, No. 2 (May): 449-470.
SongTao, Wang, 2006, “Liquidity Risk and Credit Risk,” Working paper Zurich University.
Stoll, H., and R. Whaley, 1983, “Transaction costs and the small firm effect. ” Journal of Financial Economics 12, pg 57–79.
Yu, F. 2006, “How Profitable Is Capital Structure Arbitrage?” Financial Analysts journal, vol. 62, no. 5 (September/October):47-62.
Zhu, H. 2004. “An Empirical Comparison of Credit Spreads between the Blind Market and the Credit Default Swap (CDS) Market.”Working Paper No. 160, Bank for International Settlements.
中文部分
黃月君，「固定比例投資組合保險策略在合成型擔保債權憑證權益分券之適用性」，國立中央大學財務金融研究所，碩士論文，2007。