金融市場之變動與信用違約交換之評價

Abstract

歐洲金融危機與信用交換契約之價格及市場之信心高度相關，在某些氛圍之 下，市場中任何變化均會引來價格重大衝擊，本研究目的在探討相關變數間之關 係並提供危機處理更好之管理工具。 本研究使用兩種方法評估信用風險交換之價格，尤其考慮到系統風險之影 響，以計算出信用評等遭信評公司調整時，其前後信用利差之變化。 信用交換契約之價格反應出投資者對企業風險變化之評估，本研究於控制相 關變數後，使用選擇權市場的資料，計算出系統性及個別性氛圍變數，探討市場 氛圍與信用交換契約價格之因果關係，及其受到外在因素影響的結果。由於信用 交換契約對信用資訊之傳達較有效率，這些關係之瞭解對金融危機之管理具有重 要政策意含。

Recent financial crisis in Europe is highly related to the pricing of CDS and sentiments in the markets. Changes in market conditions often cause significant impacts on investor behavior and asset prices. This paper will shed new light on the relationship of these variables and thus provide a better understanding of crisis management. This paper compares two methodologies for valuating credit default swap when the payoff is contingent on default by a single reference entity and there is no counterparty risk. Furthermore, we take the systemic risk into account for valuating credit default swap and then we provide examples of variation of credit default swap spreads when the credit rating has been changed. Investors assess the corresponding CDS spreads to reflect their excessively bearish or bullish perceptions toward a firm's credit risk. We will control some variables to investigate the possible causes and effects between CDS spreads and sentiment measures with consideration of exogenous impacts to the market. Systematic and firm-specific sentiments are derived from data related to index options and individual stock options, respectively. As CDS market is usually more efficient in transmitting the credit information, its relationship with investor sentiment under changing market conditions can have important policy implication to financial crisis.