Browsing Produção Intelectual em Bases Externas by Subject "Créditos - Avaliação de riscos"

Now showing items 1-4 of 4

    • Close form pricing formulas for Coupon Cancellable CoCos 

      Corcuera, Jose Manuel; De Spiegeleer, Jan; Fajardo, José; Jonsson, Henrik; Schoutens, Wim; Valdivia, Arturo
      2014-05
      Contingent Convertibles ('CoCos') are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called death-spiral effect: ...

    • Extracting default probabilities from sovereign bonds 

      Meres, Bernardo; Almeida, Caio Ibsen Rodrigues de
      2008-05-01
      Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there are numerous measures aiming to identify the way risk is perceived by market participants. In such environment, probabilities ...

    • Interest rates in trade credit markets 

      Barbosa, Klênio; Moreira, Humberto Ataíde; Novaes, Walter
      2017-02
      All things equal, interest rates should increase with the borrower's risk. And yet, Klapper, Laeven, and Rajan (2012) cannot find such a positive relation in a broad sample of trade credit contracts. We shed some light on ...

    • Pricing and modeling credit derivatives 

      Akat, Muzaffer; Almeida, Caio Ibsen Rodrigues de; Papanicolaou, George
      2007-05-01
      The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the ...