由於信用風險逐漸受到信用市場內參與者的關注，而市場參與者面對金融市場快速發展，及金融工具推陳出新，原有的衡量工具、風險結構及信用文化均受到嚴厲挑戰。有鑑於此，本篇論文想致力於合成式債務憑證（synthetic CDO）所聯結之企業（reference entities）違約風險的研究，希望能找出避險成本的合理性，以提供承銷商避險決策之參考。
本研究發現：
一、在較低順位之分券，隱含相關係數與避險成本呈反向關係。
二、若能估算隱含相關係數，再運用高斯factor copula model即可求算出合理的避險成本。
三、本研究係先求算各個資產兩兩間之相關係數（correlation coefficient）進而求其平均值，以此平均值推估隱含相關係數。
關鍵字：synthetic CDO、CDS、factor copula model、implied correlation

Keywords : synthetic CDO, CDS, factor Copulas model, implied correlation

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