Análise de risco de crédito: aplicação dos modelos de Merton e Hull no mercado brasileiro

• Ano de defesa: 2017
• Autor(a) principal: Jarque Junior, Vito Manuel
• Orientador(a): Glasman, Daniela Kubudi
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Spread de crédito; Risco de crédito; Modelo de Merton; Modelo de Hull, Nelken e White
• Palavras-chave em Inglês: Credit risk; Credit spread; Merton’s risk model; Hull, Nelken and White’s risk model
• Link de acesso: https://hdl.handle.net/10438/18510

This work aims to quantify the credit risk of Brazilian companies, by using tools whose refinement and precision is more and more required by financial institutions on credit loans. In this regard, It is analyzed the credit spread and default probabilities derived by the application of two risk models, whose authors are Robert C. Merton (1974), and John Hull, Izzy Nelken and Alan White (2004). In the end, It is also evaluated the model with the best adherence to Brazilian market.