1997年7月亞洲金融風暴(Asian Financial Crisis)、雙卡呆帳(Bad Debt Regarding to Credit Cards and Cash Cards)讓許多金融機構深受影響，萬泰商銀亦為其中之一。萬泰商銀以私募增資(Private Placement)方式改善其資本結構，但亦因當發行公司申請債務展延、破產或合併均會導致可轉債選擇權(Convertible Bond Option)提前終止產生違約。當公司發生違約時常會出現信用品質變差現象，而信用品質變差非朝夕而致，會與公司之前之信用質量之表現呈現高度相關，因此本研究針對萬泰商銀信用違約之風險債券選擇權是否呈現自相關進行探討。本研究延伸Rich（1996）之具隨機信用品質及存在信用破產界限的違約風險模型，並根據Liao和Chen (2006)假設將信用品質導入本研究來進一步建構具一階移動平均特性，且信用品質函數變化服從MA(1)過程之模型。然後將它們結合推導出發行者自身信用品質具違約自相關的選擇權評價模型。並比較萬泰商銀具違約風險選擇權和非自相關Black-Scholes模型其二者之間的差異，解析違約自相關因素對萬泰商銀脆弱債券買權之價格影響程度。經由數值分析發現，在考慮到交易對手的歷史交易記錄，選擇權發行者萬泰商銀具違約風險，即市場參與者的信用品質與其交易歷史相關聯為自相關。因此本研究中的模型可應用於評價店頭市場(Over-the-counter Market)之選擇權相關產品，本模型所得之評價結果會比以前的模型更為準確。

The default risk is that the company or individual cannot pay the contractor or principal liability risk, which is one of the many risks of the bond option investment level, is nothing more than the most important risk. In this study, the default risk refers to the bond or option writer cannot repay the debt due to the bond investors or the option of the buyer's financial losses. When the company defaults often appear deterioration phenomenon of credit quality, while the credit quality deterioration caused by non-instantaneous, and the company before the credit quality is highly correlated. Therefore, this study explores whether the risky bond option of the Cosmos Bank displays autocorrelation. It’s found that if the underlying asset return of Cosmos Bank displays autocorrelation is positive, the value of the MA (1) - type vulnerable call option would be higher than the non-autocorrelation Black-Scholes call option. On the contrary, if the underlying asset return of Cosmos Bank displays negative autocorrelation, the value of the MA (1) - type vulnerable call option would be lower than the non-autocorrelation Black-Scholes call option. If the value increases, the autocorrelation becomes more positive. Otherwise, if the value decreases, the autocorrelation becomes more negative. The numerical analysis found that, in consideration of the historical transaction records of the counterparty, the option writer Cosmos Bank possess default risk. The credit quality of the market participants is associated with the history of their transactions displays autocorrelated.

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