摘要 國際清算銀行將於2006年實施BASEL II ，新協定對信用風險的計算及評估方法做了大幅修改，也允許銀行採用信用風險抵減技術來降低信用風險。故可預見商業銀行信用風險管理能力及技術的提升，以及信用風險抵減技術的運用對銀行營運績效及資本的節省舉足輕重。 本研究探討商業銀行（1）如何建立避險篩選機制並運用信用風險模型來選擇適當標的，據以利用信用衍生性商品來規避信用風險（2）探討信用違約交換此一具保障功能之信用衍生性商品的定價與市場報價（3）信用違約交換及信用連結債券二種信用衍生性商品對資本計提的影響。 實證結果摘要如下： 一、信用衍生性商品的標的資產應挑選具有公開資訊的公司，故挑選上市上櫃達三年者，另挑選非十足擔保授信，金額達新台幣一億元以上或產業授信集中度已達銀行淨值80%者之授信客戶，利用KMV法及Logit模型計算違約機率，再用CreditManager計算信用風險值，選擇信用風險值較大之授信客戶做為規避信用風險之標的。 二、CDS的定價較放款收益為高，致使信用保障承買人，不願意支付該遠高於放款信用加碼的價格，故會再參考其他產品市場報價，例如資產交換(Asset Swap)的價格來找出一低於CDS理論價格，但可能為市場信用保障承買人及提供人雙方所接受的價格，做為實際報價。 三、信用衍生性金融商品在資本計提的節省效果會因信用衍生性商品契約與標的資產之授信契約二者不同到期日或不同幣別而有所不同。基本上，在銀行簿使用CDS，計算風險性資產的權數是20%；在銀行簿使用CLN，因具有現金保障效果，計算風險性資產的權數是0%，二者均有明顯資本計提的節省效果。 Abstract The Bank for International Settlement will implement BASEL II on 2006. This new Accord has made some big changes on the calculation and evaluation of the credit risk. It also allows banks to employ some credit risk mitigation skills. Thus, it is foreseeable that, among the commercial banks, the improvement of credit risk management ability and skill and the application of the credit risk mitigation skills will have some critical effects on bank performance and its capital savings. This research studied the commercial banks（1）how to establish selection system for hedging and use credit risk model to select proper loan assets to avoid credit risk by using credit derivatives;（2）how to price Credit Default Swap;（3）how to evaluate the effect of –Credit Default Swap and Credit Linked Note - on its’ capital charges. The empirical results are summarized below： The underlying assets of the credit derivatives shall be companies with open information. Thus, we picked companies that are openly traded in the security markets for more than 3 years. We also selected companies with non-fully secured loan exceeded NT$ 100 millions, or those with industry-specified loan ratio reached 80% of bank’s net asset value. We then used KMV and Logit model to calculate for their probability of default, and CreditManager for credit value-at-risk, to select those customers with higher credit risk to be the target of credit risk avoidance. CDS price is higher than the loan yield spread. Thus the protection buyer, unwilling to pay for this credit spread, will consider market prices for other products, such as Asset Swap, to find a price that is lower than the theoretical CDS price yet acceptable to both the protection buyer and the protection seller, to be the actual offer price. Saving effect of capital charges on the credit derivatives will be affected by different maturity dates or currency between credit derivatives contract and loan contract of underlying assets. Basically, using CDS on the banking book, weighted index in calculating risk asset is 20%, whereas the CLN, due to its cash protection effect, has a weighted index of 0%. Both provide significant saving effect on capital charges.
