本研究主要是想利用CDS與股價報酬的連動性來提出另一種避險的想法。我們藉由這次的金融風暴，以AIG的財務危機事件，對CDS的供給者探討分析其CDS的操作及風險如何分散。我們發現AIG產生財務危機的原因主要是在分散CDS的系統性風險上出了問題，所以我們想利用金融市場間，價格高度且快速的連動性，找出影響CDS報酬的重要變數-股價報酬。而之後，我們便將CDS、股價報酬二變數的關聯性，應用到CDS避險策略上，利用最小變異數避險比率的想法，訂定出固定狀態下的避險比率。同時、我們也發現CDS、股價報酬的關聯性會因不同狀態而呈現轉換、跳動的現象，在考慮此特性之後，我們引用Hamilton (1989) 提出的馬可夫狀態轉換模型 (Markov regime switching model) 來進而將避險比率延伸應用到二種狀態轉換上避險比率的制定。

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