從選擇權價格推估企業倒帳機率與信用違約交換報價比較

Abstract

此篇研究著重於金融危機前後，大型金融機構倒帳機率及其信用違約交換報價之關聯性。 在金融危機爆發後，信用風險成為眾所關注的議題，但信用風險的評價卻無法像金融商品一樣有客觀的訂價模型。Stephen Taylor (2012) 提出了利用選擇權價格來客觀評價信用風險的概念；基於這個概念，我想做延伸的研究，關注於其模型算出的倒帳機率，是否在真實世界中和投資人所預期的倒帳機率：信用違約報價相關聯。 在研究了兩家金融機構後，發現兩者關連性極大，證實了此倒帳機率是有根據的，所以在此模型研究更完備之時，未來應可利用此倒帳機率來評價信用風險。

After the Financial Crisis, more and more investors noticed the importance of credit risk. In the history, default probabilities and bankruptcy estimation field have been considered accounting ratio, debt information. But these kind of credit risk pricing methods involve a lot of analysts' own view. Hence, these methods are not subjective at all. Stephen Taylor(2012) used option pricing data to infer the bankruptcy probabilities. The idea using option data to infer bankruptcy probabilities is more subjective than the other method before. This research focus on the relationship between bankruptcy probabilities inferred from options using MLNbk model and the CDS spread, which are the direct credit information traded by the market. After examining the option data from two international financial institution, JP Morgan and Bank of America. I found the relationships between option inferred bankruptcy probabilities and the CDS spreads are very high, indicating that the option inferred probabilities really exist in the market.