目標到期債基金僅持有約 40% 之新興市場投機等級債券，然而實證顯示債 券信用風險存在傳染效果，一旦新興市場發生系統性風險事件，可能導致新興市場債券一波違約潮，進而使目標到期債基金投資人承擔嚴重損失。 本文以 Credit Portfolio View 模型，透過總體經濟因子連結違約機率捕捉違約相關性，估計出投機等級違約機率，再透過調整後之信用評等移轉矩陣推導出未來各期累積違約機率，取得信用評等違約機率分配，再運用蒙地卡羅模擬法建立目標到期債基金之到期收益與信用損失分配，並估計其預期損失、信用風險值等風險指標，以壓力測試檢視目標到期債基金受總體經濟極端衝擊的影響程度。 研究結果顯示，在基金持有之投資與投機等級債券投資組合比較上，投機等 級債券投資組合有更厚且長的尾端分布，其預期到期收益與投資等級差異不大，然而信用風險值差距大。而目標到期債基金整體暴險程度高，在給予壓力情況下，風險指標皆大幅上升。;In this study, we use Credit Portfolio View model to capture the correlation between macroeconomic factors and peculative-grade bond default rates, and estimate the default rates at future period before the fund maturity date. We use Monte Carlo simulation to find the distribution of target maturity bond fund and calculate the expected loss, Value-at-risk, and expected shortfall. Furthermore, we use stress testing to compare VaR under extreme macroeconomic shocks. The results show that the speculative-grade bond portfolio has a thicker and longer tail distribution than investment-grade, and the credit loss ratio of the overall target maturity bond funds is large.
