本研究針對每日利率區間型連動式債券，以及一籃子信用連結式債券－首次違約型進行評價與避險分析。由於法令的開放，結構型商品推陳出新，商品設計條款日趨繁複。利用理論的模型運用於市場上的結構型商品，使發行者與投資人清楚了解商品的利潤與風險。
在每日區間型利率連動式債券的評價模型上，採用Hall and White(1994)的利率三元樹模型求算債券價值。透過市場可90天期商業本票報價，建構符合市場利率期間結構之利率模型，並以路徑函數計算配息，以求算利率連動債券合理價格。
在一籃子信用連動式債券可拆解為持有固定利息債券，並賣出一信用交換。參考Kijima與Muromachi（2000）模型設定，模擬出不同回收率下的第一違約信用交換價值；使用Hall and White的利率三元樹模型，計算連動債券中的固定利息債券價格，最後，針對參數可能的變動進行敏感度分析。

1、陳松男博士，民91，《金融工程學：金融商品創新選擇權理論》，華泰書局。
2、陳松男博士，民93，《結構型金融商品之設計及創新》，新陸書局。
3、陳松男博士，民94，《結構型金融商品之設計及創新二》，新陸書局。
4、謝嫚綺，民93，《結構型債券之評價與分析》，國立政治大學金融研究所碩士論文。
二、英文參考書目
Black, F. and J. C. Cox (1976), “Valuing corporate securities：some effects of 　bond indenture provisions,”Journal of Finance 31, pp. 351-367.
CreditMetrics (1997), Technical Document, JP Morgan.
Hite, G., and Arthur Warga (1997), “The Effect of Bond-Rating Changes on Bond
Price Performance.”Financial Analysts Journal, Vol.53, pp.35-51.
Hull, J., and A. White. (1990), “Pricing Interest Rate Derivative Securities.”,Review of Financial Studies, 3, 4, pp.573-592.
Hull, J., and A. White. (1993), “Efficient Procedures for Valuing European and American Path-Dependent Derivatives.”,Journal of Derivatives, 1, 1, pp.21-31.
Hull, J., and A. White. (1994), “Numerical Procedures for Implementing Term Structure Models I：Single-Factor Models.” Journal of Derivatives, 2, 1, pp.7-16.
Hull, J., and A. White. (1996), “Using Hull-White Interest Rate Trees.” Journal of Derivatives, 3, 3, pp.26-36.
Jarrow , R..A. and S.M. Turnbull. (1995), “Pricing Derivatives on Financial Securities Subject to Credit Risk,” Journal of Finance 50, pp. 53–85.
Jarrow, R. and S. Turnbull (1995), “Pricing derivatives on financial securities subject to credit risk,” Journal of Finance 50, pp. 53- 85.
Jarrow, R., D. Lando, and S. Turnbull (1997), “A Markov model for the term 　structure of credit spread,” Review of Financial Studies 10, pp. 481- 523.
Kijima, M., and Y. Muromachi. (2000), “Credit Events and the Valuation of Credit Derivatives of Basket Type.” Review of Derivatives Research, 4, pp. 79–95.
Kijima, M. (2000). “Valuation of a Credit Swap of the Basket Type.” Review of Derivatives Research ,4, pp.79–95.
Kijima, M. (2001), “A Gaussian term structure model of credit spreads and valuation of credit spread options.” Kyoto University Economic Review, 70, pp. 13-30.
Lando, D. (1998), “On Cox processes and credit risky securities,” Review of Derivatives Research, Vol.2, pp. 99-120.
Li, D.X. (2000), “On Default Correlation: A Copula Function Approach.” The Journal of Fixed Income, 4, pp. 43-54.
Longstaff, Francis A., and Eduardo S. Schwartz (1995), “A Simple Approach to Valuing Risky Fixed and Floating Rate Debt.” Journal of Finance, Vol.50, No.3, pp.89-819.
Merton, R.(1974), “On the pricing of corporate debt：The risk structure of interest　rates,” Journal of Finance 29, pp. 449-470.
Vasicek, O.A. (1984), "Credit Valuation", KMV Technical Document, KMV,March . (http://www.kmv.com)