資產證券化為1970年後，金融市場上最重要的突破與創新，而抵押債權憑證為其中一門分支，其在1996年後快速的蓬勃發展。抵押債權憑證是創始機構將能產生收入之債權當作抵押品，利用發行證券的方式來募集資金。在商品的訂價過程中，不僅需要考慮到所抵押之個別債權違約風險，亦須同時考慮其違約的相關性。而本文將在單因子模型下，放寬Hull and White之模型在違約頻率上的限制，透過Jarrow, Lando, and Turnbull之JLT模型來得到以時間同質有限狀態空間之馬可夫鏈模型，來描述債權人信用評等轉移和違約機率變動的過程。最後，再根據風險中立的假設，建立一個完整的架構來對抵押債權憑證之公平溢酬進行訂價。

After 1970, securitization is one of the most important breakthrough and innovation in the financial market. Collateralized debt obligation（CDO）is a product of securitization market and has experienced rapid growth after 1996. The SPV selects a group of the worthful debt, which will create income in the future, as underlying asset of a CDO and issues some tranches to raise fund. In the procedure for pricing a CDO, we not only need to take individual default rate into account, but consider the correlation of the default rate at the same time. Under the single factor model, we broaden the restrictions of the fixed hazard rate in Hull and White（2004）and combine the JLT model in Jarrow, Lando, and Turnbull（1997）to get a time homogeneous Markov Chain which describes the transferred process of credit rating and default rate. Finally, we structure a complete method to price the fair spread of a CDO under the
assumption of risk neutral.

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