Maestría en Ciencias en Finanzas (tesis)

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Valoración de Credit Default Swaps (CDS) : una aproximación Montecarlo
(Universidad EAFIT, 2007) Arbeláez Zapata, Juan Camilo; Maya Ochoa, Cecilia Inés
This paper presents a Credit Default Swap (CDS) pricing model. The estimation of the model is based on the Montecarlo method where the credit risk is modelled based on a Stopped Poisson stochastic process. This is an interesting alternative to the pricing of CDS in countries where the corporate bonds market lacks liquidity or a credit derivative market is just about to develop as it is the case in Colombia. The model performs better for the pricing of CDS on securities with investment grade relative to speculative ones. Also, it shows that CDS prices are not very sensitive to changes in recovery or interest rates.