Credit Value-At-Risk, Credit Spread, and Distance-To-Default

信用風險值、信用價差與違約間距

周恆志(Heng-Chih Chou)

《Pan-Pacific Management Review》 11卷2期 (2008/07) Pp. 39-55

https://doi.org/10.30166/PPMR.200807.0002

摘要

Moody's KMV所提出之「違約間距」指標可以衡量公司資產價值與負債之間的距離。本文之研究目的在於探討違約間距所蘊含的信用風險資訊，基於Merton (1974)的結構式信用風險模型，本文分析違約間距與傳統信用風險指標之關係，包含違約機率、信用價差、信用風險值。文中推導出違約機率、信用價差、信用風險值皆可以用違約間距的函數來表示，這個結果也顯示違約間距確實蘊含公司的信用風險資訊。

關鍵字

違約間距 ； 信用風險值 ； 信用價差 ； 違約機率 ； 槓桿效果

並列摘要

The distance-to-default proposed by Moody's KMV can measure how far a firm's asset value away from its debt obligations. This article analyzes the information content of the distance-to-default regarding a firm's credit risk. Under the Merton's (1974) structural model, this article examines the relationship between a firm's distance-to-default with other credit risk metrics such as expected default probability, credit spread, and credit value-at-risk. I demonstrate that the expected default probability, the credit spread, and also the value of credit value-at-risk could be expressed by the analytical functions of the distance-to-default. This result implies that the value of a firm's distance-to-default contains much information regarding its credit risk.

並列關鍵字

distance-to-default ； expected default probability ； credit spread ； credit-at-risk ； credit risk modeling

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