動態違約門檻下之企業信用組合模型 訂價之實證分析：現金流量基礎法

On The Effectiveness of The Credit Portfolio Model by Liao, Su, and Chen (2007)

林威宏(Wei-Hung Lin)

指導教授 ： 廖咸興

國立臺灣大學/管理學院/財務金融學研究所/碩士(2008年)

https://doi.org/10.6342/NTU.2008.02371

摘要

本研究試圖利用Liao, Su, and Chen (2007) 所發展的多期信用風險模型，對市場信用違約交換指數 (CDX) 進行評價。模型以現金流量基礎法衡量公司資產價值，運用狀態變化關聯結構(factor copula)建立公司資產價值與景氣因子的連動性，並進一步引入不完全資訊下，投資人對動態違約門檻的預期，而其最大優點在於能建立動態風險結構與求得內生的回收率(recovery rate)。實證結果顯示了不錯的模型績效。

關鍵字

多期信用風險模型 ； 動態違約邊界 ； 現金流量基礎法 ； 因子關聯結構

並列摘要

Employing credit default swap market data, we empirically examine the effectiveness of the credit portfolio model developed by Liao, Su, and Chen (2007) which incorporates a cash flow based model, a conditional independent default approach (the factor Copula), and a dynamic default threshold setting and is able to estimate the multi-period credit risk of a corporate credit portfolio endogenously. Our empirical results show an acceptable performance of the proposed model in default risk pricing.

並列關鍵字

Dynamic Default Threshold ； Factor Copula ； Cash Flow Based Multi-period Structural Model

參考文獻

Chen, R. R., 1996, “Understanding and Managing Interest Rate Risks”, World Scientific, chapter 5.

Collin-Dufresne, P., and Goldstein, R. S., 2001, “Do Credit Spreads Reflect Stationary Leverage Ratios?” Journal of Finance 56(5): 1929-1957.

Duffee, G. R., 1999, "Estimating the Price of Default Risk." Review of Financial Studies 12: 197-226.

Duffie, D., and Lando, D., 2001, "Term Structures of Credit Spreads with Incomplete Accounting Information." Econometrica 69(3): 633-644.

Eom, Y. H., Helwege, J., and Huang, J. Z., 2004, "Structural Models of Corporate Bond Pricing: An Empirical Analysis." Review of Financial Studies, 17(2): 499-544.