Credit Default Swaps - Theoretical pricing and practical calculation of a CDS for Peruvian corporate bonds using the Bloomberg platform

Authors

  • Karen Milagros Yapo Quispe Faculty of Economics, Statistics and Social Sciences Engineering, National University of Engineering. Lima Peru.

DOI:

https://doi.org/10.21754/tecnia.v28i1.186

Keywords:

CDS, bonos, swaps, pricing

Abstract

This paper focuses on the valuation of a CDS for Peruvian corporate bonds, using the tools and real data provided by the Bloomberg platform, to illustrate the CDS pricing model of Hull and White (2000), considering the effects of probability of non-compliance, the amount of loss, the recovery rate and the time "t" of non-compliance.

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References

[1] J. C. Hull, Options, Futures, and other Derivatives, 7th ed., Ed. Pearson Prentice Hall, United States of America, 2009.
[2] A. Humala , "Swaps de incumplimiento de crédito (Credit Default Swaps)", Revista MONEDA, Banco Central de Reserva del Perú, pp. 15-18, Jun. 2011.
[3] Choy M., y Cerna J., "Interrelación entre los mercados de derivados y el mercado de bonos soberanos del Perú y su impacto en las tasas de interés," DT.N° 201-021, Working Paper.
[4] J. F. Tolk, "Understanding The Risk In Credit Default Swaps," Moddy's Investors Service, United States of America, Special Report, Doc. ID# SF10197, 2001.

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Published

2018-06-01

How to Cite

[1]
K. M. Yapo Quispe, “Credit Default Swaps - Theoretical pricing and practical calculation of a CDS for Peruvian corporate bonds using the Bloomberg platform”, TECNIA, vol. 28, no. 1, pp. 47–52, Jun. 2018.

Issue

Vol. 28 No. 1 (2018)

Section

Articles

License

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