建構台灣投資等級信用組合與其基礎相關性之研究

Abstract

本文建構類似CDX IG. NA.的信用組合代表台灣投資等級信用市場。用Merton（1974）結構式模型來模擬評價整個信用組合和各個批次證券的信用價差，再以JP Morgan模型求算各個基礎批次證券對應的基礎相關性。本文實證結果發現，指數信用價差、違約回復率、以及權益證券的首次支付費用是影響求解基礎相關性的關鍵因子。再者，發現評價模型低估了指數信用價差，連帶低估了權益證券的首次支付費用；尤有甚者，縱然拉高違約回復率，仍不足以產生足夠的違約強度來求得合理的基礎相關性，顯示指數信用價差低估嚴重。This paper mimics CDX IG. NA. to construct a credit portfolio representing Taiwan investment grade market. Under Merton's (1976) structured form model, we simulate credit spreads for the whole credit portfolio and each tranche. The model proposed by JP Morgan is applied to calculate base correlations for corresponding base tranches. The empirical results indicate that index spread, recovery rate and upfront fee are the key factors affecting the search of reasonable base correlations. Moreover, the evidence shows that index spread is undervalued so that the upfront fee is under estimated as well. The severely undervalued index spread leads to not enough default intensity to generate reasonable base correlations even arbitrarily raising the recovery rate.