以台灣非金融類股為標的資產之擔保債權憑證評價

Abstract

2006年至2009年，全球金融市場陸續經歷次級房貸與金融海嘯，台灣亦不例外。但由於台灣缺乏信用交易市場，我們無法直接由市場中觀察信用價差了解台灣信用風險之變化。因此本文透過蒙地卡羅模擬，以非金融機構企業構成擔保債權憑證之債權群組，模擬台灣市場的信用風險，並加入Importance sampling抽樣方式，降低違約機率低估之可能性。由信用價差的模擬結果發現台灣市場的違約風險在07年次貸時僅微幅上升，08年金融海嘯使得信用價差驟升，09年回跌但仍較06、07年為高。此外，在加入Importance sampling抽樣後，各批次證券模擬之信用價差皆有提升，但幅度卻因批次證券順位不同而有所差異。最後，本文發現不同債權群組之Index信用價差僅能反映各群組平均的違約風險，無法比較群組間特定批次證券之違約風險，亦即Index信用價差較低之群組無法保證該群組所有批次證券的信用價差皆會較低。

Global financial markets, including Taiwan, have experienced Subprime and Financial Tsunami since 2006. However, we can’t infer the default risk in Taiwan from market spread in that there is no CDS trading market in Taiwan. In order to discover the credit spread of Taiwan, this thesis uses Monte Carlo simulation to price the CDO whose reference portfolio consists of nonfinancial firm in Taiwan. Moreover, we add importance sampling technique in simulation process to avoid underestimating default probablity. From the pricing result, we discover that the default risk in Taiwan increased only slightly in 2007, but jumped to historical high in 2008 and recovered in 2009. In addition, the spread of each CDO tranche increased after applying importance sampling but the level of increment depends on the tranche order. Finally, we discover that index spread can only reflect the average default risk of reference portfolio. It’s unable to compare the default risk of a specific tranche between two CDOs. A CDO with lower index spread doesn’t mean to have lower spreads in all other tranches.