考量總體波動之風險中立信用移轉矩陣

Abstract

本論文探討總體因素的波動下對馬可夫信用移轉矩陣的調整，修改 Wei (2003) 所提出的模型，發展出隨景氣循環波動的信用移轉矩陣，來評價信用衍生性商品，然而Wei (2003) 只簡單的利用數值的方法處理景氣的循環，並沒有實際的探究景氣波動背後的因素。因此，採用Kim (1999) 所提出的信用循環指標法發展AR(1)模型，進一步探討不同的總體變數對景氣循環波動的影響，本論文提出四個總體經濟因子估計景氣循環的波動並提出一套更完整的過程去估計風險中立的信用移轉矩陣。

This paper is intended as an investigation of a Markov model for credit migration with macroeconomic factors. The model modifies Wei (2003), developing the time-varying transition matrices which depend on the business cycle, to value credit derivatives. However, Wei (2003) adjusts the macroeconomic fluctuations according to numerical method. The question about which factors influence the fluctuations remains unsettled. Alternatively, we follow Kim (1999), constituting the credit cycle index, to develop AR (1) model. It offers the key to an understanding of the identification of the different impacts on macroeconomic variables. In this paper, we refine four macroeconomic variables to explain the business cycle deviation. It is noteworthy that this paper develops a calibration process which is better for estimating the risk-neutral credit migration.