資產證券化源自1970年代，第一筆擔保債權憑證交易自1988年出現在美國，然後在歐美迅速發展，目前已成為重要的之債券市場。台灣金融產業發展正值轉型期，銀行除面對低利率帶來經營壓力之外，同時亦需規避評等較差之企業貸款的信用風險，而保險業者在低利率時代來臨卻無良好報酬之投資標的可供投資。因此，此環境乃為推動證券化之良好契機。自1997年發生東南亞金融危機，乃至1998年韓國的亞洲金融危機，造成許多跨國企業紛紛裁員、關廠、甚至倒閉，造成一連串的金融危機連鎖效應。因此，公司間或產業間之榮枯是相互關聯的，且均會受總體經濟因素所影響。是以，近年來除信用風險亦成為近年來財務領域上重要議題。理論或實證上，當多個標的資產之信用衍生性商品被加以開發，並用來管理信用風險的時候，需考慮多個標的資產間的違約相關性，方能準確地衡量信用風險。故在信用風險管理與信用衍生性商品的評價中，違約相關性的估計與考量顯得格外重要。結構式或縮減式模型在發展違約相關性的多變數模型中是困難的，因為其衍生性商品價值的理論推導繁複或其數值計算是相當費時。本文在多標的資產之信用風險評價模型中，透過適當個別資產之邊際違約機率與Copula函數之選擇，及其相關參數之估算，即可快速求算具違約相關性之多變數聯合機率函數，以利擔保債權憑證(CDO)之評價。因此，本文針對BET、Copula、Factor Copulas等三種方法與分析架構做一剖析，再以國內153家上市公司所發行無擔保債券作為連結標的之擔保債權憑證為例，進行模擬實證並分析結果。

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