公司債信用風險溢酬探討─國內債券市場之實證研究

The credit risk premium of Corporate Bond-The Analysis of Taiwan Bond Market

林家豪(Chia-Hao Lin)

指導教授 ： 林允永

共同指導教授 ： 李進生(Che-Shan Lee)

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00017

摘要

本文主題為探討國內公司債的信用風險溢酬，有鑑於國內債券市場缺乏如國外般完整的公司債券資料庫之建構，早期礙於國內公司債並未定期發行，加上發行者的信用評等及發行量皆有明顯不同，使得研究範圍的母體債券樣本數量不足。在無法依據客觀的條件下來分析，導致缺乏完整性與一致性的探討。
但自民國89年起在證期局的規定下，國內債券市場落實信用評等機制。與過去相較，無論在發行量及次級交易量皆大幅成長。使得本研究得以取得國內近5年完整的5年期普通公司債週資料。故針對Duffee(1998)以美國雷曼兄弟投資銀行所建構的公司債殖利率指數為研究對象所進行的風險溢酬實證分析作為理論依據，探討國內公司債風險溢酬分別與無風險利率期間結構的斜率變動及短天期商業本票之變動之間走勢有無相關聯。
實證結果證實，國內公司債風險溢酬與無風險利率期間結構的斜率變動及短天期商業本票之變動均呈現負相關。該結果與Duffee(1998)結論相近。

關鍵字

風險溢酬 ； 信用利差 ； 存續期間 ； 利率期間結構

並列摘要

The purpose of this paper is to analyze the credit risk premium of Taiwan corporate bond market. Comparing to the complete offshore bond market, there are a lot of problems in local market, such as issue irregularly, rating status, and small trading volume. Under these restrictions, the sample size of bond market was in sufficient to analyze and survey in the past.

Under SFC’s regulation, each corporate bond must be rated before issuing. We collect nearly 5 year complete weekly data to do this research. Comparing to previous studies, not only the sample size is increasing, but also the trading volume of secondary market grow rapidly. Applying Duffee’s (1988) approach, this paper investigates the relationship of credit risk premium and the movement of term structure slope, the movement of 90 day’s commercial paper.

The results display that there are negative relationship of credit risk premium and the movement of term structure slope, the movement of 90 day’s commercial paper , and correspond to the result of Duffee(1998).

並列關鍵字

Risk Premium ； Credit Spread ； Duration ； Interest Rate Term Structure

參考文獻

9.Jarrow, R., David Lando and Stuart Turnbull,1997,”A Markov Model of the Term Structure od Credit Spreads” , Review of Financial Studies , 10(2) , Summer.

1.Black, F. and M. Scholes, (1973), “The Pricing of Otpions and CorporateLiabilities”, Journal of Political Economy 81, 637-659

2.Cox, J.C.,J.E. Ingersoll and S.A. Ross, 1985, “A Theory of the Term Structure of Interest Rates”, Econometrica,53, pp.385

3.Duffee, Greory R., 1998, “The Relation Between Treasury Yields and Corporate Bond Yield Spreads”, The Journal of Finance, 53,pp 2225-2242.

4.Duffee, Greory R., 1999, “Estimating the Price of Default Risk”, The Review of Financal Studies, 12(1),Spring, pp.197-226.