衍生性金融商品的信用風險包含標的公司倒閉的風險和賣方不履約的風險。
以債券為例，我們將政府公債視為無違約風險債券，公司債則以有違約風險債券視之，
當衍生性金融商品標的公司的總資產負債比低於1，則我們把此公司視為倒閉公司，此時衍生性商品將會違約。
此篇論文將Jarrow和Turnbull(1995)的二期有違約風險債券定價推廣到多期狀態的情況，並推導其無套利的條件限制。假設標的公司倒閉機率的對數勝算比滿足AR(1)和MA(1)過程，
我們推算出有風險債券定價一個更簡潔的公式。最後並利用迴歸模型對歷史資料進行實證分析，推算出標的公司倒閉機率並建構倒閉機率勝算比對數值的AR(1)和MA(1)模型。結果發現AR(1)是一個合理的模型並對三間公司---力霸、嘉食化和力廣做定價。

Credit risk of derivative securities includes the risk of
underlying company and the risk of seller's nonfulfilment of contracts. Take bonds for example, we regard Treasury bills as default-free bonds, and corporate bonds as risky bonds. When the liability of property of derivative securities underlying company is less than 1, we regard the company is of bankruptcy. And then the seller of derivative securities will break the contract.

The essay extends two period risky bonds pricing valuation of Jarrow and Turnbull(1995) to multiperiod situation, and derive arbitrage-free condition. Furthermore, we derive formulae of risky bonds prices by assuming the logarithm of the odds ratio of an underlying company's bankruptcy probability satisfies an AR(1) or MA(1) processes. Empirical data of Rebar, Chinarebar, Ceon are studied, time series models are established for logarithm of odds
ratios. In most cases, we find that the log odds ratios can be well fitted by AR(1) models.

第一章 緒論.......1

第二章 文獻探討......3

第一節 包含違約風險衍生性商品定價探討......3

第二節 違約過程及利率過程探討......4

第三章 債券定價模型與無套利條件限制......6

第一節 二期狀態......7

第二節 多期狀態......12

第四章 實證研究......30

第一節 選取公司基本資料介紹......30

第二節 模型建立與債券定價......31

第五章 結論......33

參考文獻......34

附錄......36

附錄一......36

附錄二......39

附錄三......42

Black, F., and J. Cox, 1976. "Valuing corporate securities: Some e