考量發行人信用風險下結構型金融商品評價－以股價連動債為例

Abstract

鑒於日益惡化之信用市場狀況，在無交易對手風險假設下進行之結構型金融商品評價，其理論價格將與市場實際價格產生歧異，致使評價的結果缺乏參考性與可信度。本文將以股權連動債為例，分別採用CIR模型與GJR-GARCH模型配適無風險利率和標的股價變異數之未來路徑，並根據商品報酬函數繁複多元之特色選用數值模擬法進行評價。此外，亦另建一外生性信用風險貼水評價模型，衍伸結構型信用風險模型（KMV）之核心概念，以美式二元賣權的形式量化發行人信用風險貼水，估算考量發行人信用風險下連動債之真實價值。

It is inappropriate to ignore counterparty risk when pricing structured products especially after the financial tsunami occurred in 2008. Motivated by these circumstances, we developed an exogenous model embedded the concept of Moody’s KMV model for evaluating the issuer’s credit risk premium under the framework of American binary put option, which is applicable to any kind of financial derivatives, and we select equity-linked structured notes for illustrator. The CIR model and GJR-GARCH model are employed in forecasting risk-free rate and variance paths for evaluating a proper fair price by using numerical methods. Fair price under issuer’s credit risk can then be estimated by deducting the premium from the default-free price.