廖咸興臺灣大學：財務金融學研究所李婧華Lee, Ching-HuaChing-HuaLee2007-11-282018-07-092007-11-282018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/60647探討資產組合信用風險的文獻中，大多都為運用縮減式模型 (reduced form model) 或多變量極值理論進行研究，卻鮮少有研究運用結構式模型 (structural model) 進行分析。本研究針對公司債權資產組合，建立結構式多期信用風險模型，考量公司之投資決策與融資決策不完全相關，設立動態違約邊界。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。此模型改善了Collin-Dufresne and Goldstein (CDG, 2001) 假設公司之財務槓桿比率與公司價值變動呈現完全相關的不合理性。另外在本篇研究所做的例子中可看出，本模型對於公司信用評級的預測較Collin-Dufresne and Goldstein (CDG, 2001) 模型來的準確。此模型可廣泛運用於結構型信用商品的評價與信用風險的衡量，並適用於大規模的信用投資組合中。Most existing studies on portfolio credit model adopt either reduced form approach or multivariate extreme value theories. This study, alternatively, proposes a structure model that combines a cash flow based firm valuation and mean-reverting leverage ratios process in a multi-period corporate credit model. The cash flow based credit model with a factor structure is able to employ conditional independent default approach such as factor copula to analyze the credit risk of a corporate credit portfolio. This model improves the unrealistic assumption of Collin-Dufresne and Goldstein (CDG, 2001) that the firm’s capital structure decision is perfectly correlated to the firm’s value dynamics. The numerical example shows that our model generates better credit rating predicting than CDG (2001) model which also has a mean-reverting leverage ratio setting. In addition, the model can be applied to the valuation of a wide range of structured credit products and large sized debt portfolios, such as cash funded CBO and CDX.I. Introduction 8 II. The Valuation Framework 13 A. The State-Dependent Free Cash Flow Credit Model 14 B. Factor Copula 16 C. The State-Dependent Mean-Reverting Leverage Ratio Dynamics 18 C.1 Applying CDG (2001) original model 19 C.2 Stationary Leverage Ratios 19 C.3 Stationary Leverage Ratios with Stochastic Interest Rates 21 C.4 Comparition between CDG(2001) and the Model………..22 III. Example of model Application 22 A. Data 23 B. Factor Analysis on Free Cash Flow and Leverage Ratio Data 24 C. State Factor Process 25 D. leverage Ratio Process 26 E. Credit Rating Analysis of Portfolio Component Firms 26 F. Credit Analysis of Synthetic Portfolio 28 G. Applications in Tranching and Pricing a CBO 32 IV. Conclusion 35 REFERENCES 36 Appendix. Maximum Likelihood Algorithm for Factor Generating Formula 38379981 bytesapplication/pdfen-US多期信用風險模型現金流量因子關聯結構資產組合損失動態違約門檻平穩槓桿比率動態利率Multi-Period Credit ModelCash FlowFactor CopulaPortfolio LossDynamic Default thresholdStationary Leverage RatioStochastic interest ratethesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/60647/1/ntu-95-R94723058-1.pdf