近年來，企業財務危機頻傳，相關金融監理機制以及信用風險等議題廣為投資人所關心，公司債所承擔的風險不再僅侷限於利率方面，更有可能因為信用的風險而致使投資人蒙受巨額損失；為此，Longstaff與 Schwartz在九五年提出一風險性公司債評價模型(稱LS模型)，藉由Vasicek利率模型所推導的無風險債券價值，加上違約機率的估計而延伸出結合利率與違約風險之二因子公司債評價模型，本文即以該模型為實證架構，測試在國內利率與公司債的樣本資料下，LS模型信用價差相對於Merton模型(1974)以及國內交易市場觀察值的表現。

　　實證結果發現，LS模型所衡量的理論價差相對市場觀察值而言，普遍存在低估的現象，但信用評等較差的公司債則可能因為違約機率的驟升，導致理論價差增加而高估了實際價差，整體來說，對於違約風險性較高的公司債，模型的預測誤差較大且極端；此外，對模型影響程度較大的參數為資產價值距違約邊界比、資產價值波動性與利率波動性等。

林智清，民國八十七年，「利率交換評價模型之研究－以台灣商業本票利率為例」，交通大學管理科學研究所碩士論文
柯怡君，民國八十二年，「台灣公司債評價之實證研究－選擇權評價模型之應用」，中央大學財務管理研究所碩士論文
連子儀，民國九十一年，「從信用價差衡量公司債的信用風險－台灣市場之實證研究」，淡江大學財務金融研究所碩士論文
葉仕國，民國八十六年，「整合性利率期限結構模型之實證研究」，國立台灣大學商學研究所博士論文
潘雅慧，民國九十一年，「新巴塞爾資本協定及信用風險模型化之研析」，中央銀行季刊，第二十四卷，第二期

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