在IFRS9規定下，金融機構必須針對信用資產建構預期損失模型。本論文以CDX.NA.IG指數作為標的的合成債務擔保債券(Synthetic Collateralized Debt Obligations)為預期損失模型建構主體，以單因子高斯copula 模型訂價 ，並提出其預期信用損失模型且檢測之。本文首先介紹CDO的種類，接著討論CDO訂價公式，再以歷史風險值(Value-at-risk, VaR)建構其預期信用損失模型，利用回測方式檢測預期信用損失模型，最後再以壓力測試及情境模擬方式探討極端情形下信用損失如何變動。實證結果中我們發現較容易違約的equity tranche 承受損失比其他層大，且在壓力測試及情境模擬中，各層面臨的損失極有可能大於預估值。

Under IFRS9, financial institutions should introduce the expected credit loss model to credit assets. The current research aims to validate expected credit loss model of synthetic CDO whose underlying asset is CDX.NA.IG index. We introduce the variety of CDOs at the beginning, and explore one-factor Gaussian copula model of time to default pricing model. Following this, we construct expected credit loss model based on historical VaR (value-at-risk), and use backtesting to validate our model. Lastly, stress testing and scenario analysis is exploited to investigate the change of credit loss under extreme conditions. In empirical results, we discover equity tranche tends to suffer greater loss than super-senior tranche. Besides, actual loss is very likely to exceed expected credit loss under stress testing and scenario analysis.

1. INTRODUCTION 1
2. COLLATERALIZED DEBT OBLIGATIONS (CDO) 4
3. METHODOLOGY 4
3.1 SYNTHETIC CDO TRANCHE PRICING EVALUATION 4
3.2 VALUE OF RISK (VAR) 8
3.3 CREDIT LOSS MODAL VALIDATION 8
3.3.1 Unconditional Methods 8
3.3.2 Conditional method 9
3.3.3 Mixed test 10
4. EMPIRICAL RESULTS 10
4.1 DATA 10
4.2 CDO PRICE 13
4.3 CREDIT LOSS MODEL VALIDATION 14
5. CONCLUSION 23
6. REFERENCE 24

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