由於近年來信用違約交換（Credit Default Swap）市場的快速發展，國內在2002年也開放了信用衍生性商品的交易，且在新巴塞爾資本協定中信用違約交換為其所認可的風險抵減工具之一，因此以信用違約交換為標的資產發展其他衍生性商品將是未來之趨勢。因此本研究期望能夠提供信用違約交換等一系列商品的定價方法，作為未來定價之參考依據。
本研究提出一系統性的評價模型，首先在未有信用違約交換市場下利用信用評等轉移矩陣推估違約機率，並利用Hull and White（2003）方法對即期與遠期信用違約交換以及信用違約交換選擇權進行評價。而後在已有信用違約交換交易市場價格，並假設違約交換利率服從HJM（1992）利率隨機過程下，對信用違約交換選擇權進行評價。
最後分別利用美國與台灣之資料來進行以上信用衍生性商品價格之估算，並探討有關參數對價格之影響。本研究結果發現，回收率與商品價格呈反向關係，並非Hull and White（2003）中所述回收率對價格並無影響；而選擇權價格除受契約時間長度影響之外，信用違約交換價格之波動率對其價格影響甚巨，在訂價時亦需謹慎估算以免造成價格之偏誤。

From 2001 the trade volume of credit default swaps is increasing and it is necessary to develop other derivatives based on credit default swaps （CDS）. This article provides the models to price forward CDS and CDS options.
The way to price forward CDS and CDS options is based on Hull and White (2003) but we use the transition matrix of credit rating to estimate the probability of default and volatility of CDS. When there are no transactions of CDS, this way is simple and easy to price these derivatives. In this way, we also can get the step-function of probability of default which is similar to Hull and White（2003）and modify the problem of large volatility. Then, we assume the CDS rate follow HJM stochastic process when there are the CDS trading data. By constructing CDS rate tree and simulation, we can get the price of CDS option and avoid the inconsistency assumption of Hull and White（2003）.
This article provides the numerical result of first part using the credit rating data of Moody’s and TCRI, the result of second part using the same data as Hull and White（2003）, and illustrates the effects of the variables in these models.

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