債務違約機率之評估與CDS定價─台灣公司債市場之模擬

Estimation of Default Probability and CDS Spread-Simulation on Taiwan's Corporate Bond Market

賴怡安(I-An Lai)

指導教授 ： 郭震坤

國立臺灣大學/管理學院/國際企業學研究所/碩士(2009年)

https://doi.org/10.6342/NTU.2009.00780

摘要

CDS(信用違約交換，Credit Default Swap)是以各種債務的信用風險為標的之衍生性商品。此商品雖在歐美等國家行之有年，卻尚未於台灣被核准交易。但以CDS在全球之龐大的交易量而言，此商品未來在台灣被核准交易是可期待的。除了介紹CDS之運作與市場概況，本研究主要是結合CDS定價公式，與三種評估公司債違約機率的模型，計算以台灣公司債為參考實體之CDS合理定價。
本研究所使用的違約機率評估模型，包括了LS-LT、KMV兩種結構式模型，與普瓦松─指數分配之簡化模型。結構式模型是以分析公司之財務結構，而得到公司於未來特定時間內的違約機率。簡化模型是以債券每日市場交易價格，分析市場對該公司營運狀況之研判，並預測公司債未來違約之機率。
本研究設定台灣之公司債為CDS合約之參考實體，並且設定不同到期時間，以計算這些債務CDS之合理定價。最後，三種模型之計算結果，以及其間差異之分析將於文末呈現。

關鍵字

CDS定價 ； 違約時間機率密度函數 ； 結構式模型 ； 簡化模型 ； 資產價值下限

並列摘要

CDS (Credit Default Swap) is a derivative based on the credit risk of all kinds of debt obligation. Although this product has already traded in European countries and United States for a few years, it is not yet authorized to be traded in Taiwan. But for the globally large traded volume, it is expected that CDS can be authorized in Taiwan in the future. Besides introducing the operation and the market condition of CDS, this research is major in integrating the CDS pricing formula and three kinds of default probability estimation models and computes the rational pricing of CDS which is based on the corporate bonds in Taiwan.
This research used two kinds of structural form model, LS-LT, KMV, and a reduced form model, Poisson and exponential distribution model. The structural form model is to analyze the financial structure of the corporate to get the probability of default in a certain period. The reduced form model is to observe the market price of the bond to analyze the market judgement to the enterprise, and then predict the probability of default.
This research set the corporate bonds in Taiwan as the reference entity of CDS contracts and set different maturity to compute the CDS pricing. Finally the result of computation from three models and the analysis of difference will be presented in the end of this article.

並列關鍵字

CDS pricing ； probability density function of default time ； structural form model ； reduced form model ； lower bound of asset value

參考文獻

Black, F., and Cox, J., 1976, “Valuing Corporate Securities: Some Effects of Bond Indenture Provisions,” Journal of Finance, 31, No. 2, pp. 351-367.

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Heath, D. Jarrow, R. and Morton, A., 1990, “Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation,” Journal of financial and quantitative analysis, 25, no. 4, pp. 419-440.

Huang, J., and Huang, M. 2002, “How Much of the Corporate-Treasury Yield Spread is Due to Credit Risk? Results from a New Calibration Approach,” Working Paper, GSB, Stanford University.

Hull, J. and White, A., 2000, “Valuing Credit Default Swaps I: No Counterparty Default Risk,” Journal of Derivatives 8, No.1, pp.29-40.