國內券商發行之備兌型認購權證並無完整結算機制存在，因此投資者於購買認購權證時必須考慮發行券商之信用風險。本文應用Klein (1996)之脆弱 (vulnerable) 選擇權評價公式，以國內證券商發行之認購權證為實證資料，將發行證券商之信用風險納入考慮後，探討備兌型認購權證之理論價值，及其與選擇權價值、認購權證市價之差異比較。此外，本文亦對影響脆弱認購權證價值之主要變數進行比較靜態分析。

There is no sufficient margin settlement mechanics for prevailing covered warrant in Taiwan, thus the credit risk of warrant issuer must be considered when investors evaluate the price of covered warrant. This paper applies Klein's (1996) vulnerable option valuation model to empircially study the difference among the theoretical value of vulnerable warrant, Black & Scholes option price and the market price of warrant by using the domestic warrant data. Furthermore, this paper also analyzes the impacts of main variables on the price of vulnerable warrant through sensitivity analysis.

認購權證; 選擇權; 脆弱認購權證; 信用風險; 違約風險

Warrant; option; Vulnerable warrant; Credit risk; Default risk