由於全球對於風險管理議題的重視下，促使信用衍生性商品極速發展，對於信用衍生性商品評價問題而言，最重要的關鍵在於準確估出信用衍生性商品的標的資產－信用風險貼水（credit risk premium, CP）或違約風險（default risk）。在市場的運作機制下，假若市場為有效率的情況，經由債券價值所隱含的信用價差資訊，而挍估之信用風險貼水，可更精準的隱含公司或企業所有的信用風險資訊。本研究利用Longstaff and Schwartz（2001）所提出的最小平方蒙地卡羅模擬法（Least-Squares Monte Carlo Simulation, LSM）作為可轉債理論評價模型，並藉由評價後之可轉債理論價格與市場交易價格，利用牛頓拉弗森法（Newton-Raphson method）逼近可轉債價格隱含的信用風險貼水。對於一些未發行可轉債或直接債券的公司而言，則無法量化其信用風險貼水。對此，本研究使用KMV的信用風險模型（Credit Monitor Model），藉由公司的股價資訊，找出公司違約間距（Distance to Default)與預期違約機率（Expected Default Frequency, EDF）。有了KMV之預期違約機率與信用風險貼水（CP）後，可建構出信用風險曲線，對於未發行可轉債或直接債券公司，只要有預期違約機率值，帶入信用風險曲線則可量化出信用風險貼水。有了信用風險貼水即可進行任何信用衍生性商品的評價與信用風險管理。研究最後，在利用利率交換交易來探討信用風險貼水對利率交換交易的評價，與信用風險貼水對交換交易價值的敏感性分析。

Nowadays, with the increasing respect to risk management all around the world, the development of credit derivatives accelerates.  The crucial elements to solve credit derivatives and evaluation problems lie in whether we can accurately estimate the underlying credit derivatives which are credit risk premium (CP) or default risk.  If the market is efficient and follows market working mechanism, the calibration of credit risk premium can be found by convertible bonds with the credit spread information which is included in bond value and could imply companies or business credit risk information accurately.  In the research the Least-Squares Monte Carlo Simulation (LSM) method, proposed by Longstaff and Schwartz (2001), was used to establish the Convertible Bound Pricing Model. Then minimize the credit risk premium by converge convertible bonds price and market price using Newton-Raphson method.  For those companies that have not release convertible or straight bonds estimating credit risk premium is difficult.  Thus Credit Monitor Model, which is used by KMV Company and is based on the Black & Scholes (1973) and Merton (1974) option pricing theory was used to find distance between Default and Expected Default Frequency.  With the EDF and CP of KMV model, credit risk curve can thus be constructed.  For those companies that haven’t released convertible or straight bonds, they could quantify credit risk premium by integrating credit risk curve if there is Expected Default Frequency.  Any valuation of credit derivatives and credit risk management can be done by credit risk premium.  In the end the valuation and sensitivity analysis of credit risk premium toward interest rate swaps with interest rate swaps is discussed.

目錄
章 節 頁 碼
第一章 緒論 …………………………………………………………… 1
第一節 研究動機與背景 …………………………………… 1
第二節 研究目的與架構 …………………………………… 4
第二章 文獻探討………………………………………………………… 6
第一節 信用風險相關文獻 ………………………………… 6
ㄧ、初期信用風險模型發展與信用評等制度…………… 6
二、信用風險定價之理論基礎…………………………… 13
三、信用衍生性商品簡介………………………………… 17
第二節 可轉債簡介 ………………………………………… 23
一、可轉債重要條款……………………………………… 23
二、可轉換公司債評價理論……………………………… 26
第三章 研究方法………………………………………………………… 29
第一節 KMV 模型與預期違約機率(EDF) ………………… 29
第二節 模型預測能力比較 ………………………………… 37
ㄧ、群內分析法…………………………………………… 37
二、Logit 迴歸預測模型…………………………………… 39
第三節 可轉換公司債評價與信用風險量化 ……………… 40
第四節 利率交換契約評價 ………………………………… 47
第四章 實證分析………………………………………………………… 51
第一節 KMV與Z-Score 模型預測能力比較 ……………… 51
第二節 信用風險貼水與建構信用風險曲線 ……………… 60
第三節 信用衍生性商品實例分析－利率交換交易 ……… 66
第五章 結論……………………………………………………………… 76
參考文獻…………………………………………………………………… 78



圖表目錄
圖 表
圖2-1-1 TCRI 評等的流程……………………………………………………… 12
圖2-1-2 TCRI 信用風險等級與代表企業的信用情形………………………… 13
圖2-2-1 信用違約交換交易的基本架構 ……………………………………… 19
圖2-2-2 全部報酬交換交易的基本架構 ……………………………………… 20
圖2-2-3 信用價差選擇權的基本架構 ………………………………………… 21
圖2-2-4 信用連結票據的基本架構 …………………………………………… 22
圖3-1-1 KMV公司的Credit Monitor Model 理論圖形………………………… 34
圖3-1-2 理論違約間距與理論預期違約機率 ………………………………… 37
圖3-2-1 由群內分析法比較模型的分配圖(有趨勢) ………………………… 38
圖3-2-2 由群內分析法比較模型的分配圖(均勻分配) ……………………… 39
圖4-1-1 群內分析法預測能力比較(存續期間為三個月) …………………… 56
圖4-1-2 群內分析法預測能力比較(存續期間為一個月) …………………… 57
圖4-2-1 信用等級對應之信用風險貼水趨勢 ………………………………… 63
圖4-2-2 信用風險貼水實際值與回歸估計值 ………………………………… 66
圖4-3-1 CIR 利率模型模擬時十年期之每六個月浮動利率…………………… 68
圖4-3-2 不同契約期限下的交換利率水準(Swap Rate) ……………………… 69
圖4-3-3 不同情境下的交換利率差異 ………………………………………… 74
表3-3-1 可轉換期間之現金流量可能發生的情形 …………………………… 44
表4-1-1 預期違約機率的基本統計量 ………………………………………… 53
表4-1-2 為不同違約事件定義下的預期違約機率(EDF)值…………………… 54
表4-1-3 違約公司與正常公司的Z-score 平均值 ……………………………… 54
表4-1-4 Logit 迴歸模型預測能力結果 ………………………………………… 59
表4-2-1 計算可轉債所隱含信用風險貼水樣本公司 ………………………… 61
表4-2-2 各個可轉債樣本公司之KMV 預期違約機率與隱含信用風險貼水值 62
表4-2-3 三種風險程度下平均信用風險貼水與平均預期違約機率 ………… 63
表4-2-4 與其違約機率與信用風險貼水之基本統計量 ……………………… 65
表4-2-5 信用風險曲線回歸方程統計水準 …………………………………… 65
表4-3-1 契約開始日各契約不同期限下的交換利率(Swap Rate) …………… 69
表4-3-2 三種情境下的交換利率水準 ………………………………………… 72
表4-3-3 浮動端與固定端在相同信用風險貼水下的交換利率 ……………… 73
表4-3-4 交換利率與信用風險貼水敏感度分析 ……………………………… 74

英文部分
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中文部份
陳佳欣，「我國企業承作利率交換交易與公司特質關係之實證研究」，國立中央
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選擇權評價法孰優」，風險管理學報，第六卷，第二期，155-179。
黃振豊，林忠機，呂麗美，「具有隱含選擇權之可轉換公司債財務報導分析」，
淡江大學會計研究所碩士論文。