公司債務組合信用風險分析現金流量基礎之條件獨立違約法

Credit Analysis of Corporate Credit Portfolios: A Cash Flow Based Conditional Independent Default Approach

本研究乃利用現金流量基礎信用風險模型來結合條件獨立違約法及factor copula法來評估公司債務組合的多期信用風險。不同於多數既有的信用投資組合評估模型，本模型除了考量經濟狀態（風險）的變動外，亦能對回收比率做內生化估計。實證結果顯示，利用本模型方法來對信用違約交換指數進行信用風險評估的績效尚佳，特別是在考慮動態違約點設定下之模型績效表現更好。

This study combines a cash flow based structural credit model with a conditional independent default approach, the factor copula method, to estimate multi-period credit risk of a corporate credit portfolio. Unlike most existing portfolio credit models, this approach considers state (risk) dynamics and can endogenously estimate the recovery rate. The empirical results of applying the proposed approach to price a market-traded CDX show that the new approach performs well, especially for a model with a dynamic default threshold.