企業信用組合訂價:結合現金流量基礎法與平穩財務槓桿比率過程

Abstract

探討資產組合信用風險的文獻中，大多都為運用縮減式模型 (reduced form model) 或多變量極值理論進行研究，卻鮮少有研究運用結構式模型 (structural model) 進行分析。本研究針對公司債權資產組合，建立結構式多期信用風險模型，考量公司之投資決策與融資決策不完全相關，設立動態違約邊界。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。此模型改善了Collin-Dufresne and Goldstein (CDG, 2001) 假設公司之財務槓桿比率與公司價值變動呈現完全相關的不合理性。另外在本篇研究所做的例子中可看出，本模型對於公司信用評級的預測較Collin-Dufresne and Goldstein (CDG, 2001) 模型來的準確。此模型可廣泛運用於結構型信用商品的評價與信用風險的衡量，並適用於大規模的信用投資組合中。

Most existing studies on portfolio credit model adopt either reduced form approach or multivariate extreme value theories. This study, alternatively, proposes a structure model that combines a cash flow based firm valuation and mean-reverting leverage ratios process in a multi-period corporate credit model. The cash flow based credit model with a factor structure is able to employ conditional independent default approach such as factor copula to analyze the credit risk of a corporate credit portfolio. This model improves the unrealistic assumption of Collin-Dufresne and Goldstein (CDG, 2001) that the firm’s capital structure decision is perfectly correlated to the firm’s value dynamics. The numerical example shows that our model generates better credit rating predicting than CDG (2001) model which also has a mean-reverting leverage ratio setting. In addition, the model can be applied to the valuation of a wide range of structured credit products and large sized debt portfolios, such as cash funded CBO and CDX.