摘要：In this paper we present the main models used for pricing defaultable bonds and credit derivatives. The Merton structural model, the intensity framework and a Ratings based model are considered. We apply these techniques to the pricing of credit derivatives on Brazilian US$-indexed treasury bonds.
其他摘要：In this paper we present the main models used for pricing defaultable bonds and credit derivatives. The Merton structural model, the intensity framework and a Ratings based model are considered. We apply these techniques to the pricing of credit derivatives on Brazilian US$-indexed treasury bonds.
关键词：credit derivatives;bonds;credit swaps;spreads;derivativos de crédito;debêntures;swaps de crédito;spreads
