動態違約門檻下之企業信用組合模型 訂價之實證分析：現金流量基礎法

Abstract

本研究試圖利用Liao, Su, and Chen (2007) 所發展的多期信用風險模型，對市場信用違約交換指數 (CDX) 進行評價。模型以現金流量基礎法衡量公司資產價值，運用狀態變化關聯結構(factor copula)建立公司資產價值與景氣因子的連動性，並進一步引入不完全資訊下，投資人對動態違約門檻的預期，而其最大優點在於能建立動態風險結構與求得內生的回收率(recovery rate)。實證結果顯示了不錯的模型績效。

Employing credit default swap market data, we empirically examine the effectiveness of the credit portfolio model developed by Liao, Su, and Chen (2007) which incorporates a cash flow based model, a conditional independent default approach (the factor Copula), and a dynamic default threshold setting and is able to estimate the multi-period credit risk of a corporate credit portfolio endogenously. Our empirical results show an acceptable performance of the proposed model in default risk pricing.