本研究使用離散時間違約模型得到一年期、三年期、五年期契約的信用違約交換利差(credit default swap spread)的模型理論估計式，該估計式包含未知的違約回收率(recovery rate)，我們結合市場每日所觀察到的信用違約交換利差與模型理論估計式，再使用最小平方法來估計回收率。為了驗證這個新提議的違約回收率估計方法，我們從Datastream資料庫和國立新加坡大學風險管理機構的Credit Research Initiative (CRI)資料庫中收集到12間公司來估計違約回收率。使用我們的估計結果與穆迪的Default &Recovery database (DRD)所對應的這12間公司的違約回收率做比較，實證結果顯示使用五年期信用違約交換合約所估計的違約回收率值較接近實際違約回收率值。

We use a discrete-time default model to obtain the model-based theoretical estimators of the credit default swap spread for one-year, three-year, and five-year contracts. Due to that those estimators include an unknown recovery rate, we combine the daily credit default swap spreads with model theoretical estimators and apply the least square method to estimate the recovery rate. To validate this proposed method, we collect 12 companies from the Datastream database and the Credit Research Initiative (CRI) database of Risk Management Institute in the National University of Singapore to estimate recovery rates. We compare the estimated recovery rates of the 12 companies with the recovery rates collected from Moody's Default & Recovery database (DRD). The empirical results show that the estimated recovery rate based on the five-year credit default swap contract is closer to actual recovery value.

1.前言 1
2.研究方法 3
3.資料來源 5
4.實證結果 23
5.結論 27
參考文獻 29

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