Browsing Documentos publicados nas Revistas da Fundação Getulio Vargas by Subject "Créditos - Avaliação de riscos"

Now showing items 1-2 of 2

    • 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 ...

    • 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 ...