信用違約交換對公司信用評級與破產機率影響之研究

Abstract

近年來信用違約交換(Credit Default Swap, CDS)對債權人與債務人關係的影響受到學術界的關注，CDS能夠限制公司策略性違約的動機，從而改善公司融資條件，但也會通過轉移信用風險使債權人的控制權與現金流量權分離，從而對公司產生負面影響，產生“空頭債權人”。 本文分析並總結了CDS的發展歷史與市場特徵，回顧了策略性違約與空頭債權人的相關文獻；本文使用Cox比例風險模型，對2004年-2015年北美CDS標的公司的資料進行實證研究，發現CDS交易能夠顯著增加公司破產機率，在金融危機期間，CDS交易能夠顯著增加公司信用評級調降的機率。

In recent years, the influence of Credit Default Swaps(CDS) on the relationship between creditors and debtors has drawn attention in the academic circle. CDS can benefit a company by limiting its motivation to play strategic default as well as bring in negative impacts by separating creditors’ control rights from cash flow rights, which is called the empty creditor problem. In this paper, I analyze and summarize the history and characteristics of the CDS market, and review literature related to strategic default and empty creditor. I estimate a cox proportional hazards model using data of north American CDS companies from 2004 to 2015. The results show that, on a significant level, companies with trading CDS are more likely to go bankrupt during the sample period and be downgraded during the financial tsunami.