信用風險量化模型

Quantifying Credit Risks

王勤銓(Chin-Chuan Wang)

指導教授 ： 李進生

共同指導教授 ： 謝文良 ； 林中機(Chung-Gee Lin)

淡江大學/商學院/財務金融學系碩士班/碩士(2005年)

https://doi.org/10.6846/TKU.2005.00013

摘要

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。

關鍵字

信用風險貼水 ； 信用衍生性商品 ； KMV模型 ； 可轉債 ； 利率交換交易

並列摘要

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.

並列關鍵字

Credit Risk Premium ； Credit Desiccatives ； KMV Model ； Convertible Bonds ； Interest Rate Swaps

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