若就台灣產業史的發展來看，柑橘可稱之為日治時期的一項新興產業。在清代的台灣，各種水果物產雖已陸續傳入，但在整個產業上並無重要性。然而到了日治後期，香蕉、鳯梨與柑橘這3大水果物產，不但成為主要的農產品與貿易商品，而且園藝產業產值也僅次於米、糖居於第二重要的地位。相對於糧食作物的米、甘藷與特用作物的甘蔗、茶等，在清領時期就有相當的生產量與對外貿易，柑橘作物在台灣的快速進展，要到日本人統治時才開始，而如此快速的發展，則要歸因於柑橘「商品化」現象的出現。因為對於柑橘水果這類非食物或衣物方面的必需品來說，若無法作為商品於市場販賣，其發展將是十分有限。換言之，對於具有易腐敗特性的柑橘水果，其商品化出現所須的條件更為嚴苛，在日治時期則正好提供其在發展上交通與技術之要件。 在這當中「農業技術的進展」與「銷售運輸網絡的形成」是商品化所表現出的二大特徵。在生產層面的「農業技術的進展」，除了數量增加外，還有栽培管理技術的進步，而栽培品種逐漸集中於椪柑、桶柑這兩個主要貿易品種，可說是「商品化」的最佳寫照。另外，販賣層面的「銷售運輸網絡的形成」，則是奠基於交通運輸網絡與銷售組織的建立，而上述現象的出現又與官方、農會的極力推動有密切關係。然而總督府雖頗為重視柑橘產業，但在日治時期無論在栽培面積或產值，其却不如香蕉與鳯梨產業，大部分農家只能採取副業栽培之方式，這一方面是由於在生產層面，柑橘作物本身收穫時間過長的結果，另一方面在貿易層面，則是植物檢查制度抑制了日本市場的擴張所造成。 最終，若將柑橘產業研究發展放置在台灣殖民經濟發展脈絡中來看，其相對於香蕉、鳯梨的特殊性在於必須面對日本國內所生產的同類商品，然而確無遭受像茶葉或米於日治後期那樣的壓制措施。但這並非出於殖民者善意的結果，而是因為台灣柑橘在產量上或在國內外市場上，尚未多到足以威脅日本國內柑橘產業的地步。

本文探討可違約互換率之匯率連動選擇權的評價，外國以及本國違約交 換率的動態是建立在LIBOR 市場模型的框架。為了簡化推導過程，我們將 原本本國以及外國交換率的雙動態轉為單一動態, 因此違約以及履約價將轉 換為一個固定的常數比率來評價可違約互換率之匯率連動選擇權。由於商品 本身是考量違約的情況，因此使用遠期的存活測度來評價可違約互換率之匯 率連動選擇權。最後在數值分析的部分我們使用蒙地卡羅來模擬可違約互換 率之匯率連動選擇權，理論值與模擬值的結果接近。 / This study prices quanto options on defaultable swap rates (QODSR) in which domestic and foreign defaultable swap rates are considered in the LIBOR market model. We use two fixed ratios to price the QODSR with the default and strike rate property. The forward default-swap measure provides a simple method for valuing the QODSR. Numerical analysis is performed and compared with the Monte Carlo method to investigate the effects of volatility and default on the QODSR.

本文延伸Hull and White (2010)之跨池因子繫聯結構模型中違約相關性之描述，藉由納入Normal Inverse Gaussian分配並允許其帶有狀態轉換之特性，我們探究信用結構式商品清償順位結構中，影響次順位信用保護層(subordination level)之因素。我們以房屋抵押擔保貸款債權憑證(MBS CDO)為例，分析資產違約相關性、資產池微粒化程度、跨池違約相關性等結構性變數如何影響分券評等之合理性及風險特徵。本文的研究結果呼應Azzalini and Capitanio(2003)中所提及採用Gaussian因子繫聯結構模型之於評價信用結構商品的缺失。我們發現增進信用資產池損失分配的之厚尾性描述，得以改善高估或低估分券信用價差的情況。 / By incorporating the Normal Inverse Gaussian distribution and allowing for regime shifts in the correlation structure of the multi-pool factor copula of Hull and White (2010), in this thesis we explorer the factors constituenting the subordination levels of credit-structured products. Using MBS CDOs as an example, we examine how model-embedded variables, such as default correlation, reference-portfolio granularity, and cross-pool correlation, affect the risk profiles of MBS CDO tranches. Our numerical results echo the findings of Azzalini and Capitanio(2003) in that correlation structure obtained under the Gaussian factor copula model may be inadequate in capturing the fact-tailed characteristic of the reference-pool loss distribution, thus can result in over/under-estimation of CDO tranche spreads.

自主創新研發能力，對一國經濟成長與產業發展潛能有關鍵性之作用。技術交易市場失靈肇因於市場不完善所導致的高交易成本，而在技術商品化過程中往往面臨：1、產權之歸屬與使用權之專屬的問題，2、技術項目專業化程度高雙方資訊不對稱，3、技術價值難估算使技術鑑價不易降低供需雙方技術移轉誘因，4、研發與商品化過程需投入大量人力物力所帶來之資金投入風險，5、交易雙方基於自利的角度使交易過程中缺乏對彼此的信任所帶來的信任風險。 中國長期實施計畫經濟使科技研發面與產業面脫節情形較其他國家情形更為嚴重，為此中國企業與政府在投入大量研究經費從事科學技術之研發與創新的同時於各地方設立大量相關技術中介機構作為科研成果轉變為實質產出之孵化器。2009年由中國國務院批准北京市人民政府、科技部、國家智慧財產權局和中科院於北京聯合設立唯一以國家為命名的交易服務機構─中國技術交易所（China Technology Exchange）。不同於傳統技術中介機構在技術供需雙方之外所提供的第三方專業服務，「中國技術交易所」倡導的「IPOS知識權一站式服務平臺」為一整合技術供需雙方與技術中介機構的第四方平台，試圖利用北京中關村國家自主創新示範區之優勢，並針對科技成果產業化的不同需求以創新交易模式結合技術、金融與產業，提供技術交易雙方一系列客製化技術交易的相關服務。 如今，「中國技術交易所」營運四年多並逐步探索出適合中國科研成果商品化之創新模式。因此，本研究以「中國技術交易所」為例，配合歷史文獻與統計資料，針對交易所經典個案分析，探討中國如何解決其技術交易市場所面臨之市場失靈問題。本研究發現，「中國技術交易所」的第四方整合交易平台與創新的交易服務機制有機會成為目前中國在技術移轉商品化過程中所面臨市場失靈問題的解決方式。 / The R&D capability of independent innovation is important to the growth of economic and the potential of industrial development. The market failure of technical transactions is due to high transaction costs caused by market imperfections, and in the process of technology commercialization often faces: 1. the belonging of intellectual property and the exclusive of usufruct, 2. The information asymmetry, 3. it is hard to evaluate the value of technology, 4. The investment risks, 5. The risk of lack of trust. After long-term implementation of the planned economy, the achievements of China’s R&D are disconnected with its industries. Because of that, China enterprises and the government invested a lot in R&D and innovation. China government also set up lots of intermediaries as incubators to change scientific achievements into real outputs. China Technology Exchange (CTE) set up in 2009 by the Beijing Municipal People's Government, the Ministry of Science, the National Intellectual Property Office and the Chinese Academy of Sciences in Beijing, and approved by General Office of the State Council of the People’s Republic of China. Unlike traditional technology intermediary agencies need outsourcing some parts of professional services to other agencies, CTE advocated " Intellectual Property One stop Service(IPOS) " as the fourth platform which integrated technology supply sides, demand sides and technology intermediary agencies. CTE tries to take the advantages of Beijing Zhongguancun Science Park. For the different needs from industrialization of scientific and technological achievements, CTE uses innovative trading patterns which combined with technology, finance and industry to provide technical transactors a series of technology transactions related to Customization Innovative Services. Today, CTE has operated for more than four years and gradually explores suitable innovative models for commercialization in China. Therefore, by collecting historical documents and statistic data, this study chose China Technology Exchange as a case to analyze that how to solve the market failure of China technology transaction market. The study found that the fourth integrated platform and innovative trading mechanisms have the opportunity to become the solution of market failure which is faced in the process of the commercialization of technology transaction.

網際網路(Internet)於1990年代中期蓬勃發展以來，營運模式(business model, BM)成為創投業者(venture capitalists, VCs)評估新興dotcom廠商能否在競爭中勝出的準則。從相關文獻指出，成功的營運模式不僅可形塑新產業，甚且重新分配新價值。因此，營運模式對廠商在市場的持續競爭力，求取生存與成長，具有重大的影響。 市場競爭的本質是以動態呈現，本研究嘗試探索具有動態性之營運模式架構。依循Eisenhardt(1989)個案研究法，本研究以6個新創廠商個案進行深度訪談，將訪談逐字稿進行逐句、逐段分析，歸納整理個案研究發現，並進行跨個案分析以取得個案的型態(pattern)。 從個案研究發現與分析，廠商必須面對環境、技術及競爭者等不確定性因素，廠商的營運模式須從外部不確定性因素中，發現具有利基的創業機會，也就是：廠商須提出能夠打造具利基市場之定位與地位之「價值主張」，以及提供生存與成長的動能之「獲利能耐」。從本研究發現與分析萃取出4個營運模式要素，亦即：廠商必須能夠擁有與動員「關鍵資源與能力」；建立「網絡與平台分享機制」；注重能夠產生領導趨勢、深度體驗及高築障礙之「產品/服務之設計與品質」；充分發揮擴展共創雙贏之「在地智慧」。然而，營運模式在動態的環境中，並非一成不變，廠商必須持續透過「配適、校準、嘗試錯誤及快速商品化」之動態調整機制，才可讓營運模式具有與時俱進的持續競爭力。 / In mid of 1990’s, the era of Internet booming, business models (BMs) had become the most important evaluation tools of venture capitalists to emerging dotcoms whether they can be successful competition from the market or not. From the literature review, it showed that the successful BM not only had reshaped the whole industry, but also had redistributed billions of dollars of value. For above reasons, BMs heavily influence to firms’ performance for getting survival and growth in competitive markets. The competitive nature of markets presents a dynamic characteristic. Under this circumstance, this research tries to explore the architecture of BM that is with the adapting mechanisms to a dynamic and competitive market. The research employs case study methodology and conducts 6 new venture cases. The first research question is to explore new ventures how to seize entrepreneurial opportunities. It can be found out new ventures how to confront uncertainties including environments, technologies, and competitors, which construct antecedents of BMs. From research findings, there are two antecedents, one is value propositions which make firms to craft a special position in a niche market, and the other is profitability capabilities. The second research question is to explore new ventures how to build up BMs and adapt to the dynamic settings. Extracting of case studies findings, there are four elements, including key resources and capabilities, sharing mechanism in network and platform, design and quality in products/services, local intelligence. Also, from the research findings, there are four mechanisms of dynamic adaptation, including alignment, fit, trial and error, and commercialization. In the dynamic markets, the optimal status to BMs is to adapt and renew automatically. On one hand, it makes firms to sense and seize opportunities which are coming from external uncertainties; on the other hand, firms have to keep their BMs on the right trajectory with mechanisms of dynamic adaptation. BMs with adapting mechanisms can make firms keep competitive advantages.

台灣對國際貿易市場依賴程度極高，總體經濟環境極易受到國際經濟變數的影響，其中尤以匯率的變動，係我國進出口貿易最直接並重要的影響因素之一。為了生產及銷售競爭之需要，我國企業積極對海外投資並設立海外子公司或據點以進行國際分工，企業的國際化更加重所面臨匯率波動所產生的外匯暴露。 本研究基於我國企業面對的外匯暴露程度，探討影響我國企業外匯暴露及操作衍生性金融商品規避外匯暴露的公司治理因素，並針對外匯避險是否具有盈餘資訊內涵進行研討，具體而言，本研究將探討下列問題： 一、操作衍生性金融商品規避外匯暴露與外匯暴露程度的關聯性； 二、公司治理對操作衍生性金融商品規避外匯暴露的影響程度； 三、操作衍生性金融商品規避外匯暴露是否具有資訊內涵。 本研究的結果發現，操作衍生性金融商品係有助於規避外匯風險；而公司治理中的董事能力及董事會的獨立性則對我國企業在是否選擇操作衍生性金融商品避險時，有重大影響力。基於外匯暴露是我國企業普遍面臨的風險，上述結果應有助於我國企業在面對外匯風險時，決定是否採用衍生性金融商品規避外匯風險上，有一定的助益。本研究並發現企業操作衍生性金融商品避險是具有盈餘資訊內涵的，此對文獻中較少針對企業面對風險的避險決策是否對股票報酬有所影響的議題，可作為該領域研究方向及結果的補強。 / Due to an extremely high level of dependence on international trade, the macroeconomic environment in Taiwan is affected by international economic variables deeply. Particularly, the change of foreign exchange rates is one of the most direct and significant factors for the international trade of Taiwan. Further, the internationalization of local enterprises by actively expanding their investment internationally and setting up overseas subsidiaries makes these enterprises suffer more from the exposure of foreign exchange rate fluctuations. This study therefore investigates the following issues: 1. The association between hedging foreign exchange rate fluctuation by derivatives and the foreign exchange rate exposure. 2. The impact of corporate governance on the hedging decisions of the management. 3. Is there any information content of the hedging against foreign exchange rate exposure? The results of this study show that: (1) The hedging against foreign exchange rate fluctuation by derivatives decreases the foreign exchange rate exposure; (2) Two of corporate governance factors namely finance expertise and independence of the board of directors have significant effects on the hedging decisions; and (3) Hedging against the foreign exchange rate fluctuation by derivatives provides information content of earnings. This study contributes to the practice and the academics in the following ways: (1) As an aid for the management to decide whether to hedge against foreign exchange rate fluctuation by derivatives when facing foreign exchange rate exposure; (2) As an extension of the literature on the association between hedging decisions and the stock returns.

近年來在相關產業與政府的努力及人才培育之下，我國許多生技研究已有初步的規模且可說是居於亞洲領先地位。然而，這些技術在商品化應用的階段卻一直沒有重大突破與發展，難以將研發成果的實質效益挹注到產業中。研發成果商品化的過程中，必須兼備技術面、法律面、財務面、管理面的考量，面面俱到才能將初萌的技術逐步發展為成熟的商品，進而在市場上獲取實質利潤，再將獲得的資源挹注於研發活動，形成良性循環。 研發成果商品化的策略視產業特性而截然不同，在「生技醫療產業」中，因其具有「受衛生主管機關高度管制」、「商業化認證需時」、「行銷國際化」的特性，在法規面的複雜度較高，且為專案成功與否的關鍵因素之一，進行商品化評估時必須熟悉相關醫藥法規，才能著手為專案發展做正確的規畫 ，極度仰賴「跨領域」、「高度技術」與「熟稔特殊商業技巧」的人才。依各國藥物法規的不同，商品化的開發時程也受此影響，生技製藥產業之技術及研發成果必須將為達到法規規範的要求而必須投入的時間、資金、人力等各項資源納入總體可行性評估之考量依據。。因法規具有地域性，本研究無法齊備全球各國，將以美國及台灣為研究主體，台灣的法規深受世界公認醫藥法規先進的美國影響，熟知美國的法規可以預估台灣法規機構的思路；且美國藥品市場佔全世界最大規模，此外，美國也極有可能成為潛在合作廠商之所在地，因此本研究將比較美國與台灣之醫藥法規，並評估在技術研發的過程中，衛生主管機關之要求對於技術商品化過程中所產生的影響。 明確、具科學性、可預期性的法規環境能降低製藥產業於研發過程中的不確定性，提高廠商投入的意願。衛生醫療政策及藥政管理政策直接影響到醫藥法規的訂立，政府制定的法規將引導產業發展的方向，對於藥品市場有極重要的影響。一個好的政策應該能夠與國家的總體背景相匹配，法規要求應與國家發展程度及國家內需市場成比例。台灣生技製藥產業目前的困境之一，就是國內廠商在開發新藥時，為了符合台灣衛生主管機關訂定的高標準法規必須投入更多的成本，但台灣卻沒有足夠的內需市場得以支撐，造成擁有豐厚資源的國外廠商可以將符合世界（十大先進國）高標準的藥品進入台灣市場，但國內廠商卻無法立足。為解決此困境，台灣廠商一定要設法將業務範圍擴大到外需市場，以獲取足以支持藥物發展所需的資金成本。因此，了解國內、外之藥物相關法規，做出能符合各國法規要求的產品，為踏出國際外銷市場的第一步；此外，各國的智財法以及與商業相關的法律，還有其之間的互相關聯，都是技術商品化是否能夠成功至為重要的關鍵因素。本文擬就藥物法規面為討論之主軸，其間輔以智財、商業相關構面，對生技製藥產業之技術商品化之過程做一探討。在本研究所選的個案—核子醫學藥物，是眾多創新產品的一種，如果能把握技術、智財、法規、法律、國際商業運作，很有可能為台灣的藥業打開另一片天。 / In recent years, we have already developed some achievements in biotech researches in Taiwan and are in a leading position in Asia under the efforts of government and industries. However, these technologies still are slowly developed to the commercialized phase. Thus, the achievement of these researches does not benefit industry substantially. In the process of commercialization of biotech research, we have to consider all the aspects, including technology and regulation, intellectual property, finance and management. With a well-rounded development plan, technologies in the bud will gradually develop to a mature commodity, and earn fiscal profit in the market. The profit will consequently contribute to research activity. A virtuous circle will be formed. The strategies of commercialization differ considerably among industries. Regarding biopharmaceutical industry which has the properties of highly regulated by competent authorities, time consuming, heavy capital, and global marketing, the regulation assessment is not only complicate but also critical to project implementation. The required documents according by regional authorities will be a decisive factor to consider the development plan including the estimated timetable, needed resources. Due to the regulation system in US affected a lot legislation for laws in Taiwan , America and Taiwan will be the prior topics in this research. A well-developed legal framework and protection of intellectual property rights is the prerequisite for building an ideal environment where the biotechnology and pharmaceutical industries can flourish. In order to improve the environment for these industries, in recent years the government has approved the amendment and execution of related laws and regulations. Amendments have been made to related tax benefit and incentive measures of investment. Other amendments have been made which have allowed R&D results to be more easily transferred to academia and industry. Looking into the future, under the joint cooperation of industry, academia and research institutes, and with the government’s policy to fully promote the sector, it is believed that Taiwan will have well developed in the near future.

鑒於金融市場快速的變動與日趨複雜之金融商品種類，銀行經營管理中所面臨之風險，尤以因金融市場價格變動（如市場利率、匯率、股價及商品價格之變動）造成對銀行資產負債表內及表外部位可能產生之損失，其所因應而生之市場風險須及時管控與適時因應。然而2007年因次級房貸問題引發全球性金融危機，益加彰顯風險管理制度的重要性與其再精進之處。 本研究期能藉由新巴塞爾資本協定中市場風險管理規範的探討，個案銀行之實例探究，對國內銀行在建構符合其需要的市場風險管理系統時有所助益，在建置市場風險管理系統的考量因素以及該系統的建置與應用，循序周全建構質化與量化標準之風險管理機制。 本研究由新巴塞爾資本協定規範探討銀行市場風險管理系統建置與其實際應用，歸納出研究結論顯示，市場風險管理系統架構之依循須能符合新巴塞爾資本協定之基本規範，藉由系統內建模型計算風險值以有效衡量交易簿與銀行簿之部位，及其利率、權益證券、外匯及商品四大類風險因子。市場風險管理系統需求規畫與評估，須就應用面(系統相關模組功能)、資料面(系統執行所需資料及存取介面、資料庫建置及資料完整性)與技術面(系統運作之軟體與硬體環境)予以考量。系統專案建置須有高階管理階層對市場風險管理系統專案相關執行程序的支持，前檯、中檯、後檯、資訊單位主管之配合與溝通協調。市場風險管理系統架構應考量市場風險限額管理須至各交易層級(如總行別、部門單位別、交易簿與銀行簿產品別等)，因此系統功能模組設定與管理報表規畫設計則配合系統架構分級建立。市場風險管理制度之建立，應配合市場風險管理系統之應用與管理流程結合，訂定相關管理辦法，以規範市場風險管控機制運作及程序之確實執行。 關鍵字：新巴塞爾資本協定、市場風險、衍生性金融商品、風險值 / Recently, financial market is changed quickly and types of product are more and more complicated. Operation of Bank faces many risks that are losses of in or out balance sheet by price moving. Therefore, we need to manage and monitor the market risks that result from change in interest rate, exchange rate, equity price, commodity price in the time. In 2007, global financial crisis caused by subprime mortgage storm stands out the importance of risk management and needs of improving it. On one hand, this research hopes to benefit banks to build up its market risk system satisfied the need by discussing market risk management under Basel II and looking into case study on the bank. While constructing the system, we have to pay attention to its practicability which meets standards of quantification and quality. On the other hand, this research discusses system built up and reality applying through Basel II and indicates some useful conclusion. At first, market risk system not only meets mainly criteria under Basel II but creats the value at risk (VaR) which can effectively estimate interest rate, securities, foreign exchange and commodities risks.Secondly, technology of applying, data and information should be considered into when evaluating the demands of market risk management system. Moreover, risk system constructed needs support from senior management team and cooperation between relative departments. Besides, we need to take into account whether this mentioned system can implement market risk limit management to every transaction class, for example, trading books ,banking books, product type…etc.The system function and the management reports could be able to operate with the market risk limit management, accordingly. Most of all, market risk management regulation should be thought over the application and management process of market risk management system to make sure that market risk management could be implemented certainly. Keywords: New Basel Capital Accord, Market Risk, Derivatives,Value at Risk

本研究以一家台灣獨立唱片廠牌─小白兔橘子唱片為個案，探討其實際運作情況及其音樂產品由生產到消費的過程。透過深入訪談及實物蒐集，我由四類不同身分參與者的實作層次與意識層次觀點切入研究問題，其中受訪對象包括：獨立唱片廠牌經營者、獨立音樂唱作者、獨立音樂產品消費者以及樂評人等。研究結果的討論在實作層次包括三個層面，即產製面、消費面及互動面，而在意識層次則主要討論各類參與者對於獨立音樂產品之「獨立性」的看法與實踐。 研究結果發現，獨立音樂的產製具有低資本與高自主性的特色。首先，獨立音樂廠牌的經營規模較小，而低經濟資本的經營方式反映在實際的產製過程中，在相關合作對象與宣傳管道的選擇上產生一些限制；不過，廠牌經營者所擁有的社會資本常成為廠牌成立與存續的重要助力。再者，相較於主流音樂而言，獨立音樂的唱作人對於產品與宣傳活動的展現方式有相當高的自主性，但相對而言也必須更為自立，無法在所有環節上都依賴廠牌。而獨立音樂的消費者在消費資訊的取得方式上是較為積極主動的，而不是被動地依賴較容易取得的主流媒體資訊。 以全球化的觀點論之，小白兔橘子唱片作為一個本地獨立廠牌，雖然擁有與跨國集團有所區隔的獨特利基，但仍是以英美語系音樂產品的輸入作為最重要的經營項目。對台灣的獨立音樂產業而言，如何活絡「本地音樂產品」的發展，而不只是存在著「本地廠牌」，需要各方參與者及政府機構更多的投入與努力。 / This research is a case study of White Wabbit Records (hereafter WWR), an independent record label in Taiwan. I investigated the mode of WWR’s operation as well as the process from production to consumption of its music merchandise. Through in-depth interviewing and archival strategies, I collected data on the views and experiences of four different actors in the independent music business: the executive of the independent record label, the independent bands and artists, the consumers of independent music, and music critics. There are two primary aspects involved in this research: 1) “performance”, which includes production, consumption, and interactions amongst the actors; and 2) “ideology”, which comprises the views and practice of each actor with respect to the “independent-ness” in independent music products and production. The research found that two distinguishing features – “low cost” and “high autonomy” – are involved in the production of independent music. First, independent record labels are predominantly small companies, and thus the executive’s social capital is crucial to the establishment and ongoing operation of the company. However, in order to cut costs, many procedural restrictions exist, such as in the choice of collaborationists and promotional methods. Second, the autonomy in creativity that independent bands and artists enjoy during the production and promotional processes is much higher than that of their major record label counterparts. Nevertheless, artistic freedom comes at a cost: greater autonomy means the bands and the artists are unable to rely on their record labels to provide the bulk of the necessary resources. Moreover, the consumers of independent music are more proactive in accessing musical information, as they do not depend passively on the information transmitted to them through major broadcasting venues and the mass media. With respect to issues of globalization, even though WWR is a local independent record label with a particular niche different from that of transnational corporations, Anglo-American recordings continue to be WWR’s most important merchandise. Ultimately, while an “independent record label” already exists in Taiwan, the independent music industry here still needs to facilitate its development in the production of home-made music, rather than rely on Western imports. The achievement of this goal needs further participation and efforts of related actors as well as the government of Taiwan.

本文主要是討論市場上有哪些因素會影響信用違約交換的價格(價差)，並且透過2005年初發生的通用汽車與福特汽車信用評等調降事件，研究信用評等的改變對於股票、債券與信用違約交換市場的影響。 一開始先介紹信用衍生性商品市場的發展。第二部份則介紹評價信用違約交換的模型，並由模型中找出可能影響信用違約交換價格的因素，並且提出公司本身發佈的消息也可能會影響價差的改變，甚至更為明顯，但沒有任何一個評價模型包含這樣一個因素。而透過對通用汽車與福特汽車事件的研究，我們發現兩家公司的股票、公司債或是信用違約交換價格(價差)都在評等調降的消息發布前已經事先反映公司經營不善的狀況，或是所面臨的困境，而在評等調降結果真正公佈的時點時，市場的反應反而沒有預期的明顯。對於公司內部發佈的消息，或是預期之外的事件，價格或價差則會大幅波動。