Credit derivatives valuation

• Jaime Alberto Villamil ^[1] ; Jorge Enrique Sáenz ^[2] ; Juan David Garcia ^[1]
  1. [1] Universidad Nacional de Colombia

     Universidad Nacional de Colombia

     Colombia

     
  2. [2] Cracow University of Economics
• Localización: Los nuevos desafíos a la integración en la economía mundial / coord. por Jaime de Pablo Valenciano, Juan Uribe Toril, 2019, ISBN 978-84-17261-59-7, págs. 254-269
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • In 2008, USD 5.116 trillion in credit derivatives were traded, today the level was reduced to USD 300 trillion. Its use not as a mechanism of credit coverage but as a speculative tool was determinant for the mortgage crisis of 2008. The regulation was hardened and in Colombia its use has not been authorized. This document points out the importance of this market, exposes its advantages and formally presents valuation methodologies at market prices of CDS, Nth-to-default contracts and CDOs.