本文在Jarrow, Lando and Turnbull (1997) 的架構之下，以馬可夫鏈來表示破產過程，將公司債之信用評等資訊納入有險債券違約機率之估計。藉由假設公司債違約發生的時間（τ）服從指數分配，在利用推移機率矩陣估計出各信用評等公司債違約發生時間分配之參數λ後，可估計出各信用評等之公司債於未來任何時點之違約機率。另一方面，運用市場觀察到之信用價差期間結構，以及利用平均回收率與年違約機率間的負相關性之迴歸式來估計出各信用等級之公司債於各年度之預期回收率，可以計算出未來各年度之風險中立機率測度下的累積違約機率。本研究並檢視在2004年之資料下，以Kijima and Komoribayashi (1998) 之風險溢酬調整項取代Jarrow, Lando and Turnbull (1997) 對於風險貼水之計算方式時，在實證應用上之表現。

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