PRICING METHODOLOGY FOR CREDIT DEFAULT SWAPS

Helcio Haruo Sasaki (), João Luiz Chela () and Herbert Kimura
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Helcio Haruo Sasaki: ABN Banco Real
João Luiz Chela: Universidade Presbiteriana Mackenzie (UPM)

Revista de Economia Mackenzie (REM), 2009, vol. 7, issue 3, 4-23

Abstract: Although the global trading volume of credit derivatives has exceeded tenths of trillions of dollars, the market in Brazil for these instruments is still incipient. But, with the proposal of the Brazilian Mercantile and Futures Exchange (BM&F) to allow the trading of Credit Default Swaps (CDS) futures in 2008, the enhancement and consolidation of credit derivatives in the Brazilian market is likely. Credit derivatives have many uses, including hedging and leveraging of credit exposures, exploitation of market imbalances and adequacy of portfolio to capital requirements. Thus, considering the uses of these financial instruments e considering their increasing trading volume, this paper aims to present some characteristics and models to analyze credit derivatives, and specifically, Credit Default Swaps.

Keywords: Credit derivatives; Credit Default Swaps; Default. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:7:3:2009:sep:dec:p:4-23

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