Estudo sobre o efeito de variáveis macro econômico e do spread de credit default swap no risco de evento de crédito soberano
This paper explores the sovereign default due to the structure of Credit Default Swap spreads. These spreads show the default probability of a country. The methodology proposed in this paper applied for Argentina, Korea, Ecuador, Indonesia, Mexico, Peru, Turkey, Ukraine, Venezuela and Rússia. We cou...
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| Formato: | tesis de maestría |
| Estado: | Versión publicada |
| Fecha de publicación: | 2012 |
| País: | Brasil |
| Recursos: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | portugués |
| OAI Identifier: | oai:repositorio.fgv.br:10438/10459 |
| Acesso em linha: | https://hdl.handle.net/10438/10459 |
| Access Level: | acceso abierto |
| Palavra-chave: | Credit default swap Default probability Credit risk Probabilidade de default Risco de crédito Economia Risco (Economia) Créditos - Avaliação de riscos |
| Resumo: | This paper explores the sovereign default due to the structure of Credit Default Swap spreads. These spreads show the default probability of a country. The methodology proposed in this paper applied for Argentina, Korea, Ecuador, Indonesia, Mexico, Peru, Turkey, Ukraine, Venezuela and Rússia. We could show that a single factor model following a lognormal process captures the probability of default. We also show that the macro economic variables like inflation, unemployment e growth do not explain the dependent variable of this study. Each country responds differently to the economic crisis that leads to don’t honor their commitments debts. |
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