Credit Derivatives Pricing in Brazil

Jorge C. Kapotas, Pedro Paulo Schirmer and Marcelo M. Taddeo
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Jorge C. Kapotas: Octaplus Financial Analytics
Pedro Paulo Schirmer: Instituto de Matemática e Estatística, Universidade de São Paulo

Brazilian Review of Finance, 2004, vol. 2, issue 2, 159-182

Abstract: In this paper we present the main models used for pricing defaultable bonds and credit derivatives. The Merton structural model, the intensity framework and a Ratings based model are considered. We apply these techniques to the pricing of credit derivatives on Brazilian US$-indexed treasury bonds.

Keywords: credit derivatives; bonds; credit swaps; spreads (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:2:y:2004:i:2:p:159-182

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