The asset combination of the multi-target credit derivatives and the pricing model of credit risk, the dependence in credit default in credit derivatives is an important connection factor. Copula functions represent a methodology which has recently become the most significant new tool to handle in a flexible way the comovement between markets, risk factors and other relevant variables studied in finance. Besides, Copula functions have been applied to the solution of the need to reach effective diversification has led to new investment products, bound to exploit the credit risk features of the assets. It is particularly for the evaluation of these new products, such as securitized assets (asset-backed securities, such as CDO and the like) and basked credit derivatives (nth to default options) that the need to account for comovement among non-normally distributed variabes has become an unavoidable task. This article attempts utilizes the credit yield spread between the non-risk bond and the common corporation bond in the market and using Copula functions to make up the relation composition of asset combination. Then, penetrates through the Monte-Carlo Simulation to estimated the default time of asset combination and princing the credit risk spread in the tranche of the Collateralized Debt Obligation (CDO). Besides, this article aims at the asset default recovery rate, the discount rate and the correlation coefficient of asset combination and so on three factors makes the sensitivity analysis, we find that the most effect of the credit default spread in the Collateralized Debt Obligation is asset default recovery rate, next is the correlation coefficient of asset combination, the influence of discount rate is not obvious.

本文建立了當違約機率及回收率為隨機變動，同時信用等級移動有記憶性，且回收率和無風險利率期間結構相關之信用風險價差期間結構模型。並評價信用價差選擇權及有對手違約風險普通選擇權之價值。 此模型產生的信用價差有更多的變化性，將可描述：信用價差的隨機波動行為，且即使信用等級沒變，價差仍可能發生改變；信用價差與無風險利率期間結構有相關性；公司特定或證券特定的價差及其變動行為；處於等級上升或下降趨勢公司債券之殖利率曲線，能更準確配適有風險債券的價格等實際現象。 並可應用至有對手違約風險之商品及多種信用衍生性商品等的評價與避險，且可進行風險管理方面的應用。 關鍵詞：信用風險；信用風險價差；馬可夫模型；信用衍生性商品 / In this thesis we develop a credit migration model with memory for the term structure of credit risk spreads. Our model incorporates stochastic default probability, stochastic recovery rate, and the correlation between the recovery rate and the term structure of risk-free interest rates. We derive valuation formulae for a credit spread option and a plain vanilla option with counterparty risk. This model provides greater variability in credit spreads, and it has properties in line with what have been observed in practice: (1) credit spreads show diffusion-like behavior even though the credit rating of the firm has not changed; (2) the model injects correlation between spreads and the term structure of interest rates; (3) the model enables firm-specific and security-specific variability of spreads to be accommodated; and (4) the model enables us to estimate the yield curves corresponding to the positive and negative trends of credit ratings and match the observed risky bond prices more precisely. This model is useful for pricing and hedging OTC derivatives with counterparty risk, for pricing and hedging credit derivatives, and for risk management. Key Words: Credit Risk, Credit Risk Spread, Markov Model, Credit Derivative.