Estudo sobre o efeito de variáveis macro econômico e do spread de credit default swap no risco de evento de crédito soberano

• Ano de defesa: 2012
• Autor(a) principal: Botelho, Rodrigo Azevedo de Castro
• Orientador(a): Vicente, José Valentim Machado
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Probabilidade de default; Risco de crédito
• Palavras-chave em Inglês: Credit default swap; Default probability; Credit risk
• Link de acesso: https://hdl.handle.net/10438/10459

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.