考量違約相關性之信用風險衡量

Measuring Credit Risk with Default Correlation

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.