衡量信用違約交換的利率風險與信用風險

Measuring Interest Rate Risk and Credit Risk of Credit Default Swaps

林彥丞(Lin, Yen Cheng)

指導教授 ： 鍾經樊 ； 徐南蓉

國立清華大學/理學院/統計學研究所/碩士(2015年)

摘要

銀行或券商交易金融商品除了面對市場利率風險外，在商品持有期間中，金融商品債務人信用下降造成違約機率上升的損失也不可忽視，如何同時衡量與控管利率風險與信用風險是銀行風管的重要課題。

　　本文研究如何從信用違約交換中(CDS) 推導違約強度與對應的違約機率，進而與無風險利率結合為包含利率與信用風險的利率期限結構，並採用Dynamic Nelson-Siegel模型對此利率期限結構進行實證估計，最後使用蒙地卡羅模擬十日損失分配與風險值，做為銀行對其風險性資產計提資本的參考。

關鍵字

信用違約交換 ； 違約強度 ； 違約機率 ； 利率期限結構 ； DNS模型 ； 損失分配 ； 風險衡量

並列摘要

When a bank trades financial instruments, what it faced is mainly interest rate risks. But it also cannot ignore the potential loss caused by debtors’ credit downgrades. How to accurately measure and manage both types of risks is an important task for all banks.

　　In this thesis, we examine how to derive the default intensity and corresponding probability of default in the credit default swap (CDS), and then combine it with the risk-free rate. We then use Dynamic Nelson-Siegel model to estimate this combined structure. In the last stage, we use Monte Carlo method to simulate ten day Value at Risk as a measure for Banks' risk-based capital requirement.

並列關鍵字

Credit Default Swap ； Default Intensity ； Default Probability ； Term Structure of Interest Rates ； Dynamic Nelson-Siegel ； Loss Distribution ； Risk Measurement

參考文獻

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