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Doctoral Thesis
DOI
10.11606/T.45.2007.tde-07112007-084028
Document
Author
Full name
Tatiana Iwashita
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2007
Supervisor
Committee
Schirmer, Pedro Paulo Serpa (President)
Belitsky, Vladimir
Francisco, Gerson
Ribeiro, Celma de Oliveira
Silva, Marcos Eugenio da
Title in Portuguese
Hedge dinâmico de um swap first-to-default
Keywords in Portuguese
hedge dinâmico
risco de crédito
swap first-to-default
Abstract in Portuguese
O objetivo deste trabalho é desenvolver uma estratégia de hedge dinâmico de um swap FtD com n nomes, para n maior ou igual a dois. A estratégia deve eliminar os riscos de mercado e de default, incluindo o risco de correlação. Neste sentido, a escolha do instrumento de hedge é fundamental. A rolagem contínua de CDS é um instrumento de hedge que além de proteger contra os riscos envolvidos no contrato em questão, a estratégia gera recurso necessário e suficiente para que no instante do primeiro default, o vendedor do swap FtD cumpra com as obrigações dos contratos e não tenha perdas com os (n-1) CDSs correspondentes aos nomes que sobreviveram e foram utilizados no hedge.
Title in English
Dynamic hedging of first-to-default swap
Keywords in English
credit risk
dynamic hedging
first-to-default swap
Abstract in English
The objetive of this work is to develop a dynamic hedging of first-to-default swap with n underlying names. The strategy should eliminate market risk and default risk, including correlation risk. In this sense, the hedge instrument choice is essencial. The continuous resettling strategy os CDS is a hedge instrument against risks in the contract and moreover it will generate necessary and sufficient income to hedger fulfill all contracts obligations and doesn't have losses with the (n-1) CDSs associates with the names that have survival and were used in the hedging.
 
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Tese_Final.pdf (1,010.67 Kbytes)
Publishing Date
2007-12-21
 
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