廖咸興臺灣大學:財務金融學研究所林威宏Lin, Wei-HungWei-HungLin2010-05-112018-07-092010-05-112018-07-092008U0001-2706200814351000http://ntur.lib.ntu.edu.tw//handle/246246/182652本研究試圖利用Liao, Su, and Chen (2007) 所發展的多期信用風險模型，對市場信用違約交換指數 (CDX) 進行評價。模型以現金流量基礎法衡量公司資產價值，運用狀態變化關聯結構(factor copula)建立公司資產價值與景氣因子的連動性，並進一步引入不完全資訊下，投資人對動態違約門檻的預期，而其最大優點在於能建立動態風險結構與求得內生的回收率(recovery rate)。實證結果顯示了不錯的模型績效。Employing credit default swap market data, we empirically examine the effectiveness of the credit portfolio model developed by Liao, Su, and Chen (2007) which incorporates a cash flow based model, a conditional independent default approach (the factor Copula), and a dynamic default threshold setting and is able to estimate the multi-period credit risk of a corporate credit portfolio endogenously. Our empirical results show an acceptable performance of the proposed model in default risk pricing.CONTENTS. Introduction 1I. The Model 4. Single-Firm State-Dependent Free Cash Flow Based Credit Model 4. Factor Copula 8. The Dynamic Default Threshold Setting and the Derivation of Firm Loss Rate 11II. Empirical Test of the Model Application 15. The Data 16. Factor Analysis on Free Cash Flow Data 17. Parameter Estimation of the State-Dependent Free Cash Flow Model 17. Cash Flow Process 18. Estimations of Each Component Firm’s WACC and Constant Growth Rate 18. Solve for Market Implied Cash Flow shift 19. Dynamic Default Threshold with Stationary Leverage Ratio 20. Credit Analysis of the CDX NA.IG.HVOL 20. Further Extension 22V. Conclusions 23EFERENCES 24ppendix I. Selection of Free Cash Flow Definition 38ppendix II. Factor Analysis of Firms’ Free Cash Flows0ppendix III. Maximum Likelihood Algorithm for Factor Generating Formula 43application/pdf566295 bytesapplication/pdfen-US多期信用風險模型動態違約邊界現金流量基礎法因子關聯結構Dynamic Default ThresholdFactor CopulaCash Flow Based Multi-period Structural Modelthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/182652/1/ntu-97-R95723024-1.pdf