信用違約交換價差與信用評等之關係

Abstract

在這篇論文中，在報酬是以涉及一家實體違約為條件並且沒有對手違約情況下，我 們將比較兩種分別由Hull & White及Duan所提出之方法，來評價信用違約交換合約。而 且在評價信用違約交換合約時，我們將考慮到系統風險，然後我們將提供三個當信用評 等被改變時信用違約交換合約價格差異變化的例子。在本文的三個例子中我們會發現由 Duan所提出方法將會比Hull & White的提出之方法來的好。

This paper compares two methodologies, which were developed by Hull & White (2000) and Duan (2010) respectively, for valuating credit default swap when the payoff is contingent on default by a single reference entity and there is no counter party risk. Furthermore, we take the systemic risk into account for valuating credit default swap and then we give three examples of variation of credit default swap spread when the credit rating had been changed by using this two methodologies. In our examples, the methodology developed by Duan (2010) is much better than Hull and White (2000).