國家違約強度估計與國家信用違約交換之評價

Estimation of Sovereign Default Intensities and Sovereign Credit Default Swaps Valuation

王克陸(Keh-Luh Wang) ； 陳孟男(Meng-Nan Chen)

《財務金融學刊》 16卷4期 (2008/12) Pp. 139-162

https://doi.org/10.6545/JFS.2008.16(4).4

摘要

本論文之目的在從國家債券所隱含有關信用風險之資訊，利用模擬概似函數獲得國家違約強度隨機過程參數之最大概似估計值，並將之與市場中國家信用違約交換契約之價格資料，對其定價模型進行驗證。我們發現，信用違約交換契約對於市場資訊比起參考債券本身更具敏感性，在此情形下，當一國面臨可能的金融危機時，其信用違約交換所帶給我們的訊息可能過度反應風險，即信用違約交換價差可能有高估之情況，並可能產生套利機會。

關鍵字

國家信用違約交換 ； 違約強度 ； CIR模式 ； 模擬概似函數逼近法

並列摘要

We estimate the default intensities of sovereign entities from sovereign bonds by simulated maximum likelihood estimation (SMLE). The estimated results are used to price the sovereign credit default swaps and evaluate the pricing errors with the market data. We find that credit default swaps are more sensitive to market information than their reference obligations. As a result, for probable financial crisis in a country, credit default swaps may overreact the risk and result in higher spreads.

並列關鍵字

Sovereign Credit Default Swap ； Default Intensity ； CIR Model ； Simulated Likelihood Approximation

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