國家違約強度估計與國家信用違約交換之評價

Abstract

本論文之研究目的旨在從國家債券所隱含有關信用風險之資訊，利用模擬概似函數估計法得出國家違約強度過程參數之最大概似估計值；並利用所估計之參數與市場上觀察之國家信用違約交換價格資料，對信用違約交換定價模型進行驗證。我們發現，信用違約交換對於市場比起參考債券本身更具敏感性；並提出在此情形下，當一國面臨可能的金融危機時，信用違約交換所帶給我們的訊息可能比實際上更為悲觀，即信用交換價差可能有過份高估之「信用違約交換泡沫」的情況，並可能產生套利機會。

In this paper, we estimates default intensities of sovereign entities from sovereign bonds by simulated maximum likelihood estimation (SMLE). We also use the estimation result to price sovereign credit default swaps and evaluate the pricing error with the market data. We find that credit default swaps are more sensitive than reference obligations; as a result, if there are probable financial crises in a country, information in credit default swaps may be more pessimistic than real states. It says, there may be ”Credit Default Bubble” and arbitrage opportunities appear with conditions to be determined.