為了避險，金融機構會大量使用條款靈活的OTC契約，但OTC契約的避險效果會因交易對手的違約而消失。為了彌補交易對手信用風險所導致的潛在損失，交易雙方需要在契約定價階段便考慮交易對手的違約機率。同時，交易對手在面對潛在損失時，違約機率也會相應增加，這稱為錯向風險。本文使用縮減式模型刻畫交易對手的違約機率，並假設此機率受到契約價值的影響，對不同情況下的單方向信用價值調整進行計算，探討錯向風險的存在對衍生性金融商品契約價值的影響。

It is common for financial Institutes to use OTC financial derivative contracts to hedge their risk, which will be influenced by the default of counterparty. To reduce the loss caused by the counterparty credit risk, both two trading parties should take into account the probability of counterparty default in the beginning of contract making process. Meanwhile, the default probability of counterparty will raise when then counterparty is facing potential loss, which is called Wrong Way Risk. In this paper, the author will use reduced form model to model the probability of counterparty default, which is assumed to be affected by the contract value, and calculate the unilateral credit value adjustment under different circumstances, discussing the influence of wrong way risk to the contract value of financial derivatives.

1. 前言 1
2. 信用價值調整 4
2.1 單方向信用價值調整（UCVA） 5
2.2 無錯向風險下的UCVA計算 8
3. 瞬時出險率 10
3.1 Vasicek模型 11
3.2 信用違約交換 12
4. 錯向風險 16
4.1錯向風險建模 17
4.2錯向風險強度的校準 19
5. 實證計算 20
5.1辛普森法則 20
5.2 幾何布朗運動 20
5.3 市場參數校準 21
5.4 情境設計 22
5.4.1 遠期契約 24
5.4.2 選擇權 29
6. 結語 35
參考文獻 38
附錄 39

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