信用違約交換契約定價理論之探討

Abstract

信用衍生性金融商品是一個特殊等級的財務工具，允許使用者藉著隔絕來自標的資產的信用風險來管理風險。雖然相對其他衍生性市場規模要來的小，但自1990年代末期起，它已成為成長最快速的衍生性商品市場。近年來，在國外信用衍生性金融商品不斷逐年攀高的成交量，顯現已有愈來愈多的市場參與者投身其中，而國內也開放了部分信用衍生性商品的交易。其中的信用違約交換契約（Credit Default Swap）即是信用衍生性金融商品中直接用以處理最原始信用風險的產品，最簡單的用途是提供對票債券及貸款的保險，而立基於其上更再進一步發展出其他的信用衍生性商品，所以就本身的功能及應用上都具有相當的重要性。伴隨著信用衍生性商品迅速成長，且信用違約交換為是市場上的要角之一，已有許多學者注入心力於此財務工具的定價上。本篇論文將回顧過去關於信用違約交換之理論定價與實務分析的研究。信用違約交換的理論定價模型被分為結構型與簡約型兩種模型；同時，我們回顧了關於信用違約交換在實證分析的研究，包含回復方式的選擇、信用違約交換權利金的決定要素、信用違約交換權利金與信用價差之間的差距、各種理論訂價模型的成果績效、並且介於信用違約交換市場與其他市場（債券、權益市場）的領先-落後關係等等。

Credit derivatives are a specific class of financial instruments that allow users to manage credit risk by isolating such risk from the underlying financial assets. Although small compared to other derivatives and securities markets, the credit derivatives market has become one of the faster-growing derivatives markets since the late 1990s. By observing the booming trading volume of the credit derivatives in recent years, we can realize that there are more and more participants getting into this unique market. In Taiwan, we can also trade part of credit derivatives. It is the right time to pay attention to the credit default swap (CDS), the simplest type of the so-called credit derivatives, with which people can deal with the most primitive credit risk and build more complicated credit products. With the rapid growth of the credit derivatives market and the import role of CDS in the market, much attention has been given to the pricing of this financial instrument. This paper will review theories in pricing CDS and empirical studies on CDS. Current CDS pricing models can be classified into two groups: structural models and reduced-form models. The empirical studies on CDS includes the choices of recovery form, CDS premium determinants, performance of the theoretical pricing models, differences between theory and practice, and the lead-lag relationship between the CDS market and equity and bond markets.