在本論文中，我們將建構一個樹狀模型，能夠用來處理多個公司之間具有「相關性信用風險」的情況。在評價信用衍生性商品時，我們的模型可以納入以下各種考量：（1）有相關性的市場風險與信用風險，（2）相互影響的信用風險結構，（3）交易對手風險。 此外，我們的模型能夠評價以「信用價差」或「倒帳事件」為標的物等不同類型的信用衍生性商品。最後，我們將以「信用價差選擇權」以及「一籃子信用違約交換」等商品為例子來進行評價，並且討論信用風險相關性以及利率波動性結構對於信用衍生性商品價格的影響。 We develop a lattice model to characterize multi-firms’ correlated credit risk. When valuing credit derivatives, our approach allows one to incorporate not only the correlative market and credit risk, but also takes the interdependent default risk structure and counterparty risk into consideration. Moreover, the lattice carries a rich information set and thus a wide range of products can be priced including credit-spread-based and default-based credit derivatives. For a direct application of our model, we demonstrate the valuation of credit derivatives, such as credit-spread options and first to default basket contracts. At the same time, we also conduct a comparative static analysis to discuss the impact of the default correlation and interest rate volatility term structure to credit derivatives’ prices.
