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Pricing Methodology For Credit Default Swaps

Author

Listed:
  • Helcio Haruo Sasaki

    (ABN Banco Real)

  • João Luiz Chela

    (Universidade Presbiteriana Mackenzie (UPM))

  • Herbert Kimura

    (Universidade Presbiteriana Mackenzie (UPM))

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.

Suggested Citation

  • Helcio Haruo Sasaki & João Luiz Chela & Herbert Kimura, 2009. "Pricing Methodology For Credit Default Swaps," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 7(3), pages 4-23, september.
    • Handle: RePEc:aft:journl:v:7:3:2009:sep:dec:p:4-23
    DOI: -
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