信用風險對於銀行、債券發行者及投資人而言是一個重要的課題。對銀行而言，由於存在著借貸及中的特性，嚴重的暴露在借款者倒帳的風險中，因此信用風險可謂銀行商業貸款中最主要的風險。是故，近年來信用衍生性商品遂成為銀行規避信用風險的有利工具。信用衍生性商品種類相當廣泛，本文主要針對一籃子（basket）的信用衍生性商品進行訂價，推導其封閉解，包括basket CDS、basket CLN及CDO。
本文主要利用Lando（1998）文中，Cox Process來描述違約的發生情況，此外利用Jarrow（2000）文中所提，使違約強度為利率的函數。最後，觀察各因素與商品價格的敏感度分析。

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Chapter 1 Introduction and motivation
Section 1 Introduction….…………………………………………………….1
Section 2 Motivation…….……………………………………………………3
Section 3 Framework…………………………………………………………5

Chapter 2 Literature
Section 1 Approach to default risk………………………………….……….6
Section 2 Empirical evidence in the literature………………………………8

Chapter 3 Introduction of credit derivatives
Section 1 Market Profile….………….……………………………………….9
Section 2 Capability of Credit Derivatives…………………………………10
Section 3 Classification………………………………………………………11

Chapter 4 The model
Section 1 Pricing Credit Default Swaps…………………………………….18
Section 2 Pricing Basket CDS……………………………………………….19
Section 3 Pricing Basket Credit Default Linked Note……………………..21
Section 4 Pricing Collateralized Debt Obligation………………………….22
Section 4 An SPV’s value…………………………………………………….23

Chapter 5 Numerical results
Section 1 Credit Default Swaps…………………………………….……….25
Section 2 Basket CDS………………….…………………………………….27
Section 3 Basket Credit Default Linked Note……………………………...30
Section 4 Pricing Collateralized Debt Obligation………………………….32
Section 5 An SPV’s value…………………………………………………….36

Chapter 6 Conclusion……………………………………………………......37

Appendix:
Appendix A Pricing Basket CDS……………………………………………39
Appendix B Pricing Basket CLN…...………………………………………41
Appendix C Pricing CDO………...…………………………………………42
Appendix D Extensive Vesicek Model………………………………………44
References…………………………………………………………………….46

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