信用衍生性商品於金融市場發展的歷史並不算長，然其對信用風險的管理與應用上卻占有舉足輕重之地位，無論對信用市場未來展望的看法為何，均可透過信用衍生性商品的操作以達到規避風險或提升收益之目的。
自1997年亞洲金融風暴以來，雖然信用市場略有動盪，但整體還算穩定，信用貼水自2003年之後，亦呈現下跌，這表示市場參與者對信用市場前景極為樂觀。因為信用衍生性商品的蓬勃發展及對收益的需求與日俱增，財務槓桿的使用度逐漸增加。以固定收益投資而言，若信用貼水大幅上揚，對評價將有不利的影響。然理論上，若採行多空策略，由於空部位（Short Position）正好可緩和信用貼水大幅上漲對投資部位的影響，可降低市場波動對評價的衝擊。本篇研究就信用貼水已達到相對低點之際，即2006年中及2007年初所發行之三檔以信用衍生性商品進行多空策略投資應用所產生之報酬，進行實證分析。
本研究顯示，多空策略的優勢固然在於能使投資商品評價相對穩定，不過並非所有多空策略都能保持穩健，若是多方部位價格下跌，而放空之部位之收益不足以彌補多方部位之評價虧損時，多空策略部位即不能發揮實質效益。在市場波動度變化劇烈時，特別是在2007年次貸風暴之後，交易的買賣價差亦隨之擴大，也使得積極主動的多空操作策略所產生之損失會高於被動式依規則（Rule-Based）之操作策略。

The development of credit derivatives in financial market is not long, however, it plays a decisive role in credit risk management and application. No matter what kinds of view expressed, we can achieve goals to avoid risk or enhance return through the use of credit derivatives.
Since 1997 Asian crisis, market condition was stable despite of some minor turmoil in credit. Credit spread was tightened after 2003. It meaned that market participants was very opitimistic to credit outlook. Due to vigorous development of credit derivatives and increasing demand on returns, the usage of financial leverage increased gragually. For fixed income investment, if credit spread is widened dramatically, there will be negative impact on mark-to-market. Nevertheless, in theory, if long-short strategy is adopted, short position can moderate the impact of credit spread widening in investment portfolio. Therefore, it can reduce brunt from market fluctuation. Through empirical analysis on 3 credit derivatives long-short investment strategies issued in the mid of 2006 and beginning of 2007, when credit spread is reached to relative low.
The research exhibits that long-short strategy can provide relative stable mark-to-market on investment, however, not all long-short strategy can remain stable. If price of long position drops, but return of short position cannot compensate mark-to-market loss on long position, there is no substance benefit for long-short strategy. When market volatility moves dramatically, especially after 2007 subprime crisis, bid-offer spread is accompanied to be widen, which making active long-short trading strategies produce more loss than passive rule-based trading strategies.

中文部分：
1.蔡豐澤，1999，「違約與回復率模模型之應用」，台灣大學財務金融研究所碩士論文
2.王柏祥，1999，「信用交換契約的評價與應用」，台灣大學財務金融研究所碩士論文
3.陳雲龍，2003，「信用衍生性商品相關性交易分析（Correlation Trading）」，政治大學經營管理碩士學程碩士論文
4.賴柏志，2004，「關聯結構(copula)在信用風險管理之運用」，金融風險管理季刊
5.吳振雄，2004，「信用衍生金融商品訂價與產品介紹」，淡江大學財務金融研究所碩士論文
6.高儀慧，2005，「擔保債務憑證(CDO)發展現況及其衍生問題探討」， 證券櫃檯月刊, 第107期
7.廖四郎、李福慶，2005，「擔保債權憑證之評價 - Copula分析法」，台灣金融財務季刊，第六輯，第二期
8.蔡麗君，2005，「隨機違約強度模型下CDO之評價與分析－Copula方法」，政治大學金融研究所碩士論文
9.李美儀，2005，「信用衍生性商品之擔保債權憑證之評價與分析」，政治大學金融研究碩士論文
10.張耀洲，2005，「擔保債權憑證之評價 - BET、Factor Copula與Copula方法比較與分析」，政治大學金融所碩士論文
11.陳松男，2006，「信用連結商品個案分析與評價」初版，新陸書局
12.林進益、徐守德，2008，「CPPI與TPPI策略之比較」，2008行為財務學暨新新市場理論與實證研討會論文

英文部分：
1.Andrew R. Young, Guide to Fixed income Analysis, Morgan Stanley
2.Anthony Saunders & Marcia Marcua Millon Cornett, Financial Institutions Management, MaGraw HILL
3.Philippe Jorion, “Financial Risk Manager Handbook”, GARP
4.Satyajit Das, “Structure Product & Hybrid Securities”, John Wiley & Sons (Asia) Pte Ltd.
5.Suresh Sundaresan, “Fixed Income Markets and their Derivatives”, SOUTH-WESTERN
6.Sivan Mahadevan, Vishwanath Tirupattur, Peter Polanskyj, Phanikiran Naraparaju, Andrew Sheets, 2007, “Structured Credit Insights – Instruments, Valuation and Strategies”, 3rd Edition, Morgan Stanley, P.58-P.81
7.MINTs Investment, 2006, Presentation Material, HSBC
8.CENTRIS managed by Solent Capital, 2006, Presentation Material, HSBC
9.AXIOM managed by AIG Global Investment Group, 2006, Presentation Material, BNP Paribas
10.Jure Skarabot ,”Correlation Trading Strategy”, 2006, Credit Derivative Strategy/Citigroup
11.John Hull, Mirela Predescu and Alan White, “The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model”, November 2006

參考網站
1.中信證券
http://www.kgi.com.tw/rm/rm_4.htm
2.Credit Flux Ltd
http://www.creditflux.com
3.Cairn Financial Products Limited
http://www.cairncapital.com
4.Solent Capital Group
http://www.solentcapital.com