IDEAS home Printed from https://ideas.repec.org/a/brf/journl/v2y2004i2p159-182.html
   My bibliography  Save this article

Credit Derivatives Pricing in Brazil

Author

Listed:
  • Jorge C. Kapotas

    (Octaplus Financial Analytics)

  • Pedro Paulo Schirmer

    (Instituto de Matemática e Estatística, Universidade de São Paulo)

  • Marcelo M. Taddeo

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.

Suggested Citation

  • Jorge C. Kapotas & Pedro Paulo Schirmer & Marcelo M. Taddeo, 2004. "Credit Derivatives Pricing in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 2(2), pages 159-182.
    • Handle: RePEc:brf:journl:v:2:y:2004:i:2:p:159-182
    as

    Download full text from publisher

    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/download/1140/340
    Download Restriction: no
    File URL: http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/1140
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    credit derivatives; bonds; credit swaps; spreads;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:brf:journl:v:2:y:2004:i:2:p:159-182. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Marcio Laurini (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.