在巴賽爾協議III 增強了對於信用曝險的資本要求與引進極端情況下的風險值(Value at Risk,VaR)後，對於風險的管理愈趨重要，因此適當地對信用風險與系統風險建立模型成為風險管理人員重要的功課。信用違約交換(Credit Default Swap,CDS)的出現讓銀行有更加方便的管道為其所持有的投資組合信用風險避險。本篇論文依據Patton(2006)、Huang et al.(2009)與Fei et al. (2013)的研究，以美國市場為研究對象，資料期間為2004年12月開始到2014年10月，期間涵蓋次貸危機與歐債危機。將北美投資等級指數(CDX.NA.IG)分別搭配S&P500股價指數、VIX指數形成投資組合，探討與權益市場的互動關係，以GARCH-skewed-t模型來描述指數報酬率的特性，以靜態與動態copula函數搭配來估計投資組合資產報酬率的聯合分配，最後估計投資組合在copula模型下的風險值，並進行回溯測試結果的比較探討是否能有效改善風險值(VaR)的預測能力。實證結果顯示，邊際分配服從GARCH-skewed-t之time-varying SJC copula不論在市場處於何種情況下都有比其他模型更好的風險預測能力。Copula-GARCH模型同時考慮了個別指數報酬率序列相關的性質並能捕捉到尾端相依性與分配不對稱性，改善了傳統風險值模型之常態性假設所無法捕捉到的資產分配現象。

摘要 I
目錄 III
第一章 緒論 1
第二章 研究方法 6
第一節、COPULA 函數模型 6
第二節、邊際機率分配模型 11
第三節、參數估計 13
第四節、風險值 VALUE AT RISK 14
第三章 實證結果 18
第一節、資料分析 18
第二節、參數估計結果 20
第三節、VAR與回溯測試結果 24
第四章 結論 35
參考文獻 36

Alexander, C., & Kaeck, A. (2008). Regime dependent determinants of credit default swap spreads. Journal of Banking & Finance, 32(6), 1008-1021.
Ang, A., & Chen, J. (2002). Asymmetric correlations of equity portfolios. Journal of Financial Economics, 63(3), 443-494.
Basel Committee on Banking Supervision, 2011. Basel III: A Global Regulatory Framework for More Resilient Banks and Banking Systems. Bank for International Settlements
Bibow, J. (2012). The euro debt crisis and Germany’s euro trilemma. Levy Economics Institute, Working Papers Series.
Blanco, R., Brennan, S., & Marsh, I. W. (2005). An empirical analysis of the dynamic relation between investment‐grade bonds and credit default swaps. The Journal of Finance, 60(5), 2255-2281.
Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of econometrics, 31(3), 307-327.
Byström, H. (2005). Credit default swaps and equity prices: The iTraxx CDS index market. Working Papers, Department of Economics, Lund University, (24).
Cao, C., Yu, F., & Zhong, Z. (2010). The information content of option-implied volatility for credit default swap valuation. Journal of financial markets, 13(3), 321-343.
Chao, S. K., Härdle, W. K., & Pham-Thu, H. (2014). Credit Risk Calibration based on CDS Spreads (No. SFB649DP2014-026). Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
Christoffersen, P., Errunza, V., Jacobs, K., & Langlois, H. (2012). Is the potential for international diversification disappearing? A dynamic copula approach. Review of Financial Studies, 25(12), 3711-3751.
Clayton, D. G. (1978). A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence. Biometrika, 65(1), 141-151.
Deutsche bank research (2009). credit default swaps. Deutsche bank
De Santis, R. A. (2012). The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal.
Duffie, D. (1999). Credit swap valuation. Financial Analysts Journal, 73-87.
Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 987-1007.
Ericsson, J., Jacobs, K., & Oviedo, R. (2009). The determinants of credit default swap premia. Journal of Financial and Quantitative Analysis, 44(01), 109-132.
Fei, F., Fuertes, A. M., & Kalotychou, E. (2013). Modeling dependence in cds and equity markets: Dynamic copula with markov-switching. Available at SSRN 2161570.
Frank, M. J. (1979). On the simultaneous associativity ofF (x, y) andx+y− F (x, y). Aequationes mathematicae, 19(1), 194-226.
Fung, H. G., Sierra, G. E., Yau, J., & Zhang, G. (2008). Are the US stock market and credit default swap market related? Evidence from the CDX indices. The Journal of Alternative Investments, 11(1), 43-61.
Giammarino, F., & Barrieu, P. (2009). A semiparametric model for the systematic factors of portfolio credit risk premia. Journal of empirical finance, 16(4), 655-670.
Gumbel, E. J., 1960, Bivariate Exponential Distributions, Journal of the American Statistical Association, 55(292), 698-707
Hansen, B. E. (1994). Autoregressive conditional density estimation. International Economic Review, 705-730.
Huang, J. J., Lee, K. J., Liang, H., & Lin, W. F. (2009). Estimating value at risk of portfolio by conditional copula-GARCH method. Insurance: Mathematics and economics, 45(3), 315-324.
Hull, J., Nelken, I., & White, A. (2004). Merton’s model, credit risk, and volatility skews. Journal of Credit Risk Volume, 1(1), 05.
Hull, J., 2012, Options, Futures and Other Derivatives, 8/e, Pearson Education India
Joe, H. (1997). Multivariate models and multivariate dependence concepts. CRC Press.
Jondeau, E., & Rockinger, M. (2006). The copula-garch model of conditional dependencies: An international stock market application. Journal of international money and finance, 25(5), 827-853.
Lane, P. R. (2012). The European sovereign debt crisis. The Journal of Economic Perspectives, 26(3), 49-67.
Longin, F., & Solnik, B. (2001). Extreme correlation of international equity markets. The Journal of Finance, 56(2), 649-676.
Longstaff, F. A., Mithal, S., & Neis, E. (2005). Corporate yield spreads: Default risk or liquidity? New evidence from the credit default swap market. The Journal of Finance, 60(5), 2213-2253.
Markit, 2010. Markit Credit Indices - A Primer. Tech. rep., Markit Group Limited
Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates*. The Journal of Finance, 29(2), 449-470.
Norden, L., & Weber, M. (2009). The co‐movement of credit default swap, bond and stock markets: an empirical analysis. European financial management, 15(3), 529-562.
Okimoto, T. (2008). New evidence of asymmetric dependence structures in international equity markets. Journal of Financial and Quantitative Analysis, 43(03), 787-815.
Palaro, H., Hotta, L.K., 2006. Using conditional copulas to estimate value at risk.
Journal of Data Science 4 (1), 93_115.
Patton, A. J. (2006). Modelling asymmetric exchange rate dependence*. International economic review, 47(2), 527-556.
Philips, T. K. (2006). An approximate valuation formula for a credit default swap. Available at SSRN 920565.
Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of risk, 2, 21-42.
Scheicher, M., & Raunig, B. (2008). A value at risk analysis of credit default swaps (No. 2008, 12). Discussion Paper, Series 2: Banking and Financial Supervision.
Sklar, M. (1959). Fonctions de répartition à n dimensions et leurs marges. Université Paris 8.
Weistroffer, C., Speyer, B., & Walter, N. (2009). Credit default swaps. Deutsche Bank Research.
Zhang, B. Y., Zhou, H., & Zhu, H. (2009). Explaining credit default swap spreads with the equity volatility and jump risks of individual firms. Review of Financial Studies, 22(12), 5099-5131.
李美杏, & 丁聖祐. (2011). 關聯結構與最適投資組合-Copula 模型的應用. 統計與資訊評論, 13, 69-100.
何殷如. (2012). 全面解讀信用違約交換（CDS）. 金融監督管理委員會.
張光亮, & 黃宗佑. (2011). 美國存託憑證與母國股票報酬間之動態關連性─ 極端尾部相依性以及 Kendall’s tau 之研究. 經濟研究 (Taipei Economic Inquiry), 47(2), 305-356.
余俊揚. (2014). 美國不動產投資信託基金之投資組合風險分析 – 以copula-GARCH模型探討. 清華大學計量財務金融學系碩士論文.