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    題名: 固定期間信用違約交換之評價
    其他題名: Valuation of Constant Maturity Credit Default Swaps
    作者: 岳夢蘭
    貢獻者: 國立政治大學財務管理學系
    行政院國家科學委員會
    關鍵詞: 信用違約交換
    日期: 2008
    上傳時間: 2012-10-22 11:10:49 (UTC+8)
    摘要: 近年來投資人大量使用信用衍生性商品轉移信用風險，增加投資報酬，致使信用衍生性商品的交易量持續擴大，市場重要性與日俱增，各種類型的結構型信用風險商品也隨之而生， 其中之一便是本研究所要探討的固定期間信用違約交換(constant maturity credit default swap)。在傳統的固定收益證券市場上，標準型利率交換(vanilla interest rate swap)和固定期間的利率交換(constant maturity swap)之間的關係正如同在信用風險市場中標準型信用違約交換(vanilla credit default swap)和固定期間信用違約交換之間的關係。他們都是具有固定期間特性的投資商品。標準型信用違約交換可視為一種保險契約的概念，信用保護買方(protection buyer)定期支付固定費用(premium)予信用保護賣方，一但信用事件發生，賣方有義務承擔約定標的之信用風險，支付給買方約定之金額。固定期間信用違約交換則是此一標準型 信用違約交換的延伸，兩者不同之處在於固定期間信用違約交換中的權利金不再是一個期初開始便決定的固定費用，而是依據各付款日當時的市場上某一特定期限(constant maturity)的信用違約交換信用價差所決定的一筆浮動費用。此浮動的費用支付端，便是固定期間信用違約交換與信用違約交換的最大不同處。由於兩種契約都是 對某一特定標的資產提供違約保護，所以兩者的違約支付端(default leg)現值必須相同，因此在無套利原則的假設下，兩種契約的費用支付端(premium leg)現值也必須相同。將固定期間信用違約交換的浮動費用端現值乘上某一比例後，便可和信用違約交換的固定費用端現值相同的這個比例變數，稱為參與率(participation rate)，固定期間信用違約交換的評價便是決定此參與率的值。固定期間信用違約交換實務上的重要性在於此商品提供投資人一個交易未來信用價差大小的機會，而不涉及違約風險。常見的交易策略為投資人在買入固定期間信用違約交換 的同時，可賣出一具有相同標的及到期日的信用違約交換，兩種商品的違約支付端相互抵銷後，投資人的淨利部位則是一個固定對浮動的信用價差交換(premium credit spread swap)。投資人可依據對未來信用價差走勢的預期持有不同部位的固定期間信用違約交換和信用違約交換來賺取報酬。固定期間信用違約交換具有實務上的重要性，但在學術上卻沒有太多研究探討其評價問題。本研究的目的則是利用一個縮減式信用模型(reduced-form model)，企圖推導出隱含的未來信用價差，進而求算出參與率，決定固定期間信用違約交換的價值。由於信用價差內含的波動性，市場上的遠期信用價差(forward credit spread)並不一定是未來信用價差的不偏估計量，因此我們試圖導求兩者之間的關係，並探討出現在固定期間利率交換定價中的凸性調整項(convexity adjustment term)，是否也存在於具固定期間特性的信用衍生性商品。如果此調整項存在，我們將進一步探討其大小如何受模型參數影響。
    The credit derivatives market has grown substantially over the last few years. Aided by the innovation of sophisticated products, credit derivatives have provided a way for investors to efficiently transfer and repack credit risks. One of the exotic structured credit products is the constant maturity credit default swap (CMCDS).A CMCDS is an extension of constant maturity swap (CMS) in the area of credit market. A vanilla credit default swap (CDS) is a contract that provides insurance against the default risk of an underlying entity. While a CDS offers default protection in exchange for the fixed premium payment, the premium of CMCDS however is reset periodically in reference to a prevailing CDS rate with a fixed maturity. CMCDS transactions are important and receiving increasing attentions because they allow investors to take a view on future credit spreads. The strategy of combining a CMCDS with an opposite position in a vanilla CDS provides a means to unbundle spread risk from default risk. The resulting net position is a floating-fixed premium swap, which enables investors to take exposure to only credit spread risk.We notice that both vanilla CDS and CMCDS provide the same protection against a credit event of a reference entity, no arbitrage principle thus implies that the present value of the floating premium leg of a CMCDS must equal to the present value of the CDS fixed premium leg. The equivalence is achieved by expressing the floating premium as a percentage of the reference fixed maturity CDS spread. This ratio is called the “participation rate“. In principle, the participation rate of a CMCDS is derived based on the expected levels of the future reference CDS spreads. The problem, however, is that we do not know how the reference fixed maturity CDS spreads will change over the life of a CMCDS. Due to the volatility of credit spread, the realised spread level in the future may not be the same as the level implied by forward spreads. To account for uncertainty regarding future credit spreads, an adjustment term arises when implying future spread levels from forward credit spreads.In this research, we will first demonstrate that the adjustment term is a side-effect of changing probability measures. Based on a reduced-form model, we then extract the future credit spreads and calculate the participation rate. Finally we will examine how the value of the participation rate is affected by the parameters in the credit risk model.
    關聯: 應用研究
    學術補助
    研究期間:9708~ 9807
    研究經費:605仟元
    資料類型: report
    顯示於類別:[財務管理學系] 國科會研究計畫

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