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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
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    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

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