本篇論文以Wang’s (2011) 單一公司法(Single-firm approach)在債信投資組合之違約風險計算做實證研究。單一公司法是以市場信用風險模型(KMV)為基礎而延伸之計算債信投資組合違約機率的方法。單一公司法將債信投資組合中各個債權視為同一家公司所發行並且由各債信發行公司合併而成，利用KMV模型可計算出合併公司的違約機率，此機率即代表債信投資組合的違約機率。傳統上計算債信投資組合的違約機率必須估計個別公司的違約機率與違約相關係數(Default correlation)，但違約相關係數無法直接計算，單一公司法可有效的避免使用個別公司的違約機率及違約相關係數。本文利用單一公司法估計隱含之違約相關係數，並與過去學者的實證研究結果比較，藉此證明單一公司法適用於估計債信投資組合的違約機率。資料來源方面，本研究採用COMPUSTST資料庫中有S&P信用評等的319家公司為樣本，樣本期間為2002年12月至2007年12月，共五年。實證結果顯示，由單一公司法估計之違約相關係數可產生如之前學者Lucas (1995) 歷史違約相關係數之特性。

The object of this paper is to provide empirical analysis for Wang’s (2011) single-firm approach. Single-firm approach is a convenient way to estimate default probability of the debt portfolio. When a debt portfolio is considered, single-firm approach regards all debts are issued from a single firm which is a merged firm from the individual firms issuing debts under consideration. Traditionally, evaluating default probability of a debt portfolio needs to estimate individual default probabilities of each firm in the debt portfolio and default correlations, but default correlation cannot be measured directly. Within the single-firm approach, we can estimate default probability of the debt portfolio using KMV model without the needs to estimate individual default probabilities and default correlations. In this study, we use single-firm approach to estimate implied default correlation and compare the results with historical default correlation reported by Lucas (1995). The data used here is from COMPUSTST database, we choose 319 S&P rated firms and the data period is December, 2002－December, 2007. The empirical result shows that, default correlations implied by single-firm approach have the similar characteristic with Lucas (1995).

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