| Summary: | 碩士 === 國立臺灣大學 === 財務金融學研究所 === 88 === Credit derivative is a very new product, the property of which is to hedge the assets related to credit. It can be no only applied to banks’ loans but also used to manage foreign exchanges and oversea bonds while considering the country risk. Its use is very widespread. However, the product is so brand new that it has not been publicized in the market yet. There are many credit pricing models that are still under dispute and thus the techniques of pricing credit are a little different from those of pricing other derivatives.
The model adopted in this thesis is the most correspondent one to the situation under American law. The process is as follows:
First, the default probability of the underlying assets should be calculated by using the present credit rating or market data.
Second, the credit derivatives under the given contracts can be priced.
Third, the strategies to hedge and the effectiveness of the hedge by using credit derivatives.
It needs more imaginations to create and develop more and more credit derivatives. With the introduction and improvement of techniques to price credit derivatives, credit risk can be considered and the whole derivatives pricing models will be complete. To financial organizations, such as banks and securities companies, and the industries involved with credit, the key to be more competitive is to embark on jumping into the pool of credit derivative.
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