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題名：考量違約相關性之信用風險衡量
書刊名：管理學報
作者：張瑞珍 引用關係／吳庭斌 引用關係／陳素緞／張智翔
作者(外文)：Chang, Jui-jane／Wu, Ting-pin／Chen, Suduan／Chang, Chih-hsiang
出版日期：2015
卷期：32:3
頁次：頁315-346
主題關鍵詞：違約相關性；傳染效果；脆弱因子；次級房貸；信用違約交換；Default correlation；Contagion effect；Frailty factor；Subprime mortgage crisis；Credit default swap
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次級房貸風暴顯示違約事件具有傳染效果與高度違約相關性。本文將由信用市場資料估計潛在之違約相關性，以捕捉實際信用市場之違約相關性，並在無套利限制下，建立包含違約相關性之信用評價模型，並以信用違約交換（CDS）進行實證分析。樣本內實證結果顯示，違約相關性顯著影響信用風險，且考量違約相關性尤其有助於次級房貸風暴期間之風險衡量。此外，樣本外評價結果亦進一步證實加入違約相關性能大幅降低評價誤差，且顯示考量違約相關性尤其能改善嚴重受到信用風險影響產業之評價誤差。
The subprime mortgage crisis reveals that defaults are contagious and highly correlated. This paper estimates the latent default correlation by credit market quotes to depict the real default correlation of the credit market. Under noarbitrage constraints, this paper further constructs credit pricing models with considering default correlation and then provides empirical estimation results of credit default swaps. The in-sample pricing results show that the default correlations significantly affect credit risks. Especially, after considering the default correlation, the credit risk measuring performance is well improved during credit crises. In addition, the out-of-sample pricing results also reveal that the pricing errors are markedly decreased by containing default correlation. Furthermore, the pricing errors are much improved by default correlation in the most damaged industry during credit crises.
期刊論文
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研究報告
1.Crosbie, Peter、Bohn, Jeff(2003)。Modeling Default Risk。New York, NY：Moody's KMV。  new window
2.Amato, J. D.、Luisi, M.(2006)。Macro factors in the term structure of credit spreads。  new window
3.Azizpour, S.、Giesecke, K.(2008)。Premia for correlated default risk。California：Stanford University。  new window
4.Collin-Dufresne, P.、Goldstein, R. S.、Helwege, J.(2003)。Are jumps in corporate bond yields priced? Modeling contagion via the updating of beliefs。Berkeley, CA：University of California。  new window
5.Couderc, F.、Renault, O.(2004)。Times-to-default: Life cycle, global and industry cycle impacts。Switzerland：University of Geneva。  new window
6.Halperin, I.、Tomecek, P.(2008)。Climbing down from the top: Single name dynamics in credit top down models。JP Morgan。  new window
7.Jorion, P.、Zhang, G.(2007)。Credit correlations from counterparty risk。California：University of California at Irvine。  new window
8.Yang, J.(2008)。Macroeconomic determinants of the term structure of corporate spreads。Ontario, Canada：Bank of Canada。  new window
圖書
1.Duffie, D.、Singleton, K.(2003)。Credit Risk: Pricing, Measurement and Management。Princeton, NJ：Princeton University Press。  new window
圖書論文
1.Bielecki, T. R.、Crépey, S.、Jeanblanc, M.、Rutkowski, M.(2008)。Valuation of basket credit derivatives in the credit migrations environment。Handbooks in operations research and management science: Financial engineering。Amsterdam：Elsevier。  new window
 
 
 
 
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