信用違約交易訂價的研究－Hull-White模型與KMV模型的應用

The Study of Credit Default Swap Pricing: The Application of Hull-White Model and KMV Model

李超雄(Chao-Hsiung Lee)；黃劭彥(Shaio Yan Huang)；卓佳慶(Chia-Ching Cho)；蔡効廷(Shiau-Ting Tsai)

信用違約交換 ； Hull-White模型 ； KMV模型 ； Credit Default Swap ； Hull-White Model ； KMV Model

評價學報

6期（2013 / 10 / 01）

73 - 103

繁體中文

1990年以前，信用風險並不是那麼地受到人們重視。然而，自1990年後，一連串的企業發生破產或是信用危機。而台灣也接二連三的發生財務危機事件，已使信用風險的衡量及控管成為當前風險管理中最大的挑戰。本研究以電子服務業中曾發行普通公司債的上市（櫃）公司為研究對象總共有18間公司，研究西元2000年到2010年間，計算這18間電子服務業公司的信用違約交換的價差。研究方法是將資料用KMV模型計算其違約率，再代入Hull-White模型以計算公司信用違約交換的價差。

The credit risk did not be concerned with investor before 1990. However, there are many companies have raised the credit crisis and bankruptcy since 1990. These events have also been occurred in Taiwan. Therefore, the measurement and monitoring of the credit risk has begun a big issue in risk management. In this study, the author selected the 18 electronic service companies which had issued the bonds and listed in Stock Market from the year of 2000 to 2010 for CDS spread calculation. The KMV model and Hull-White model is applied to CDS spread calculation.