信用衍生性商品評價:BET方法

Abstract

信用衍生性商品的基本概念，簡單地說，為一種移轉信用風險的合約，一方支付風險溢價(premium)，而將標的資產的信用風險移轉給交易對手。本研究將先針對信用風險做一完整的定義，然後介紹信用衍生性金融商品。市場上主要的信用衍生性商品為: 總報酬交換（Total Return Swaps）、信用違約交換（Credit DEFAULT SWAP）、信用價差選擇權與信用連結債券(CSO及CLN)、擔保品債務憑證(CDO)。本研究將會對上述商品做詳細地介紹。 一般來說，有幾種方法可以用來評價信用違約交換，像是: Hull & White 評價模型、Copula 方法以及BET方法。本研究將分兩種產業別，分別為工業別及銀行別，並採用Garcia(2003)的Binomial Expansion Technique(BET)方法針對一籃子信用違約交換合約(Basket CDS)計算其信用評等和信用價差。經由BET方法評價後，可以得知工業別的投資組合其信用評等為A，且其信用價差為74.2bps。另一方面，銀行別的信用評等為BBB，且其信用價差為70.6bps。

The basic concept of credit derivatives is a contract which allow participants transfer their credit risks. One party agrees to pay credit premium which transfers the credit risk of underlying assets to counterparty. In the thesis, we make complete definition of credit risk and introduce credit derivatives. The fundamental credit derivatives in the market are: Total Return Swaps、Credit Default Swap、Credit spread option、Credit-Linked Notes and Collateralized debt obligation.We will completely clarify all these derivatives that are mentioned above. There are some methods pricing credit default swap such as Hull & White model、Copula method and Binomial Expansion Technique method. We divide two industries, industrial sector and bank sector respectively, and use BET method presented by Garcia(2003) to evaluate credit rating and premium of Basket CDS. After evaluation, the ratings are A and BBB for industry and bank respectively. The spreads are 74.2bps and 70.6bps for industry and bank respectively