擔保債權憑證之評價--以Fitch VECTOR法

Abstract

擔保債權憑證可視為是發起人將其本身所遭受到的信用風險，移轉給其他願意承擔信用風險以換取較高投資報酬率的投資人，如同一般證券化商品，擔保債權憑證是一種將資產重新包裝發行的證券，其所表彰的資產為債券或銀行貸款的投資組合。近年來，擔保債權憑證成長迅速，2004年末全球市場發行量僅241億美元，到2007年第一季則達到5500億美元。本篇研究將逐一介紹擔保債權憑證基本概念、世界三大評等公司之ㄧ--惠譽 (Fitch)，用以衡量擔保債權憑證投資組合內信用風險的方式，最後，選取台灣的32家上市公司作為投資組合，以Fitch VECTOR系統的方式計算此投資組合的違約與損失分配，並利用信用違約交換的概念計算出合理的信用價差，期望能促進信用衍生性商品在台灣的普及率與交易量，降低台灣金融體系受信用風險威脅的程度。

Collateralized debt obligation (CDO) is a financial product for credit risk bearers to transfer their risks to investors who are willing to take credit risks in order to gain higher returns. Just like other securitized products, collateralized debt obligation is created by repacking assets, that is, holding one security is equivalent to holding one share of the asset pool.In this essay, introduction of collateralized debt obligation and the model Fitch uses to measure portfolio credit risks will be the first and the second part. The third part of the assay is the practical credit risk result of the portfolio comprising 32 public companies in Taiwan by Fitch model.