雙層擔保債權憑證（CDO-squared）是目前全球資產證券化商品市場相當熱門之商品，回顧國內對信用風險之研究，極少有相關文獻或研究被提出。本研究乃以合成型雙層擔保債權憑證（synthetic CDO-squared）為主體，試圖以一套毋須進行蒙地卡羅模擬之半解析式評價模型為基礎，目的旨在探討雙層擔保債權憑證具有高投資收益的背後，所隱含之風險程度為何？廣泛探索各種不同分券（tranches）之風險特徵，透過比較分析使各個分券間之相互關係能環環相扣，進而對此商品之風險/報酬特性有全面性之瞭解並規劃合適避險策略。本研究在違約事件為條件式獨立的假設下，運用遞迴法則（recursive algorithm）及一個多維超立方體結構（hyper-cube）建構出雙層擔保債權憑證之損失分配，並以求得之評價模型為風險分析之基礎，得到下列發現與避險涵義：（1）雙層擔保債權憑證雖然標榜具有雙重的信用違約保護且能達到更大程度的投資組合分散，同時兼顧利潤與風險的平衡，但實際上卻是高槓桿程度的商品。（2）名目本金數額及分券信用評等之揭露無法反映分券風險本質，市場參與者需要仔細區分風險金額移轉數目與內含風險移轉程度之差異。（3）應用delta避險策略可以規避分券所面臨之市場風險，而使避險組合價值不受標的資產市場價差波動之影響，繼而經由避險成本之求算，可適當選用數個單一信用違約交換（single name CDS）或信用違約交換指數來進行有效之避險。

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