本文結合 Nelson-Siegel靜態利率模型與Hull-White雙因子動態利率模型，而該整合後之模型可以導出未來任何時點和期限的利率期限結構。結合兩個模型之動機在於Hull-White模型雖然具有預測能力，惟瞬間遠期利率之型式並無設定，而廣為使用的Nelson-Siegel靜態模型洽可補足此部分，因此希望藉由整合兩個模型，各取其長處，嘗試導出兼顧配適程度與預測能力的利率模型。本文也更深入探討動態模型，Farshid Jamshidian 和 Yu Zhu(1996)指出使用單因子利率模型即能捕捉 68\% 到76\%之動態，剩餘未能描繪的動態大部分是利率劇烈變動的情境下所產生的，因此本文的另一個重點就是加入第二個因子，使混合模型勾勒出利率劇烈變動下的期限結構，亦即單因子模型所無法捕捉到的動態。從而導出之混合利率模型將會搭配美國公債及公司債資料來估計信用利差期限結構與公司違約率之期限結構，進而以違約率期限結構計算出信用風險指標。

This thesis combines the Nelson-Siegel static interest rate model and the Hull-White two-factor dynamic interest rate model as the term structure of interest rates. The integrated model can derive the interest rate distribution at any time point and term in the future. The motivation for combining the two models is that the form of the instant forward interest rate in the Hull-White model is not set. As a widely used static model, the Nelson-Siegel model can fill this part. Hence, we hope to derive a term structure of interest rates that takes into account both the degree of fit and the ability to predict by integrating the two models and taking advantage of each. Another focus of this article is to add a second stochastic process to enable the hybrid model to outline the term structure under the dramatic changes in interest rates. Farshid Jamshidian and Yu Zhu(1996) indicates that using a single-factor interest rate model can only capture 68\% to 76\% dynamics. Yet, we can obtain an 85\% to 90\% movement by taking the second factor into the interest rate model. The derivation of the mixed interest rate model will be used with US Treasury bills and corporate debt data to forecast the term structure of credit spreads and the default structure of corporate default rates and to calculate further credit risk indicators based on the default rate term structure.

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