使用障礙選擇權模型評估國家破產機率及其實證分析

Abstract

由於歐洲”PIGS”危機持續引起全球信用市場之關切，國家信用風險已成為學術界 與貨幣主管機關之重要課題。本研究計畫擬建構一障礙選擇權模型以分析國家之信用 風險，應用結構式方法結合國家之資產負債表內容，估計不同地區之國家其違約機率 之大小。實證方法將使用轉換資料最大概似法估計模型中之參數，演算出之國家破產 機率之變動將與樣本期間之重大財經事件比較其關係，並將使用迴歸分析驗證障礙選 擇權模型解釋國家信用交換契約所推導出之違約機率。

As the “PIGS” crisis in euro area continues to cause concern in the credit market, the country risk has become an important issue for both academics and monetary authorities. In this research, we would like to construct a barrier option pricing model to study the sovereign credit risk. Applying the structural form method with sovereign balance sheet, the default probabilities are estimated for various countries in different area of the world. The transform-data maximum likelihood estimation technique is adopted to estimate the parameters in the model. The derived probabilities of the defaults for our sample countries will be checked with the economic and financial events that occurred during the sample period. The regression analysis will be conducted to test the significance of the barrier model in explaining the probabilities of defaults induced by the premiums of the sovereign credit default swaps.