公司債信用貼水與違約距離關係之探討

Abstract

從Merton (1974)之經典論文發展以來，衡量公司債之合理信用貼水就成為債券市場相關研究之重要題材。在實務上，一般慣依公司債之信用評等來決定信用貼水，然信用評等的調整頻率不高而常有落後於信用品質變化之傾向，可能無法有效地反應公司債的違約風險。因此近年來由Moody’s KMV公司之預期違約頻率衡量模型 (Expected Default FrequencyTM credit measure) 所發展出來的違約距離 (Distance-to- Default, DD) 指標，成為另一項可評估信用品質與信用貼水之工具。 一般而言，DD愈大，信用風險愈低，信用評等愈高，公司債信用貼水愈低，本研究利用479家公司所發行的1,738筆債券資料，驗證DD對信用貼水之解釋能力。此外，本研究將公司債信用貼水與DD之關係強度拿來與信用評等之關係強度做比較，結果發現，DD對信用貼水的解釋力並不亞於信用評等，DD補捉了部份信用評等所無法解釋的資訊。再者，信用評等需待評等機構來發佈，而DD只需要公司股價及財務報表上的資訊即可計算，故它能經常性地加以評估，而能較快速地反應發行公司財務狀況的變化，因此DD在某種程度上可以取代信用評等，在Basle II即將實施之際，本文的研究成果可提供給金融機構、承銷商、投資者、發行公司與主管機關等作為參考。

Since the classic study of credit risk valuation was pioneered by Merton (1974), assessing the reasonable credit spread of corporate bonds has become one important issue related to the bond market research. In practice, the credit rating has been the key factor in determining the credit spread of a firm’s debt. However, the credit rating is revised infrequently and quite often with a lag. It may not reflect the true default risks of bonds efficiently. So in recent years, the distance-to-default (DD) inspired by Moody's KMV Expected Default FrequencyTM (EDFTM) credit measure becomes another evaluation criterion to assess the credit quality and to determine the credit spread. Generally, the greater the DD, the lower the credit risk, the higher the credit rating, and thus the lower the credit spread. Using 1,738 US corporate bonds issued by 479 firms, we document the empirical success of DD in explaining credit spreads. Besides, we compare the power of DD with that of credit ratings to explain credit spreads. The results show that the performance of DD in explaining credit spreads is in no way inferior to that of credit ratings. DD captures some information that is not contained in credit ratings. In addition, the credit rating must be supplied by major rating agencies whereas DD only requires the equity prices and certain items from financial statements as input, so it is more responsive to the everchanging financial status of the issuer, and can be calculated as frequently as the users like. DD may be able to replace the credit rating to a certain extent. On the verge of the implementation of Basel II Accord, these findings may provide a useful risk control concept for financial institutions, underwriters, investors, issuers, and the regulators.