Resumen de Credit derivatives valuation
Jaime Villamil, Jorge Enrique Sáenz Castro, Juan David García González
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.
