Valoración de credit default swap aplicación del modelo de Jarrow y Turnbull en un bono de deuda privada en Colombia
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Universidad Santo Tomás seccional Bucaramanga
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El estudio presenta la aplicación empírica de un modelo de forma reducida para la estimación de probabilidades default, el cual ofrece bondades frente a otros modelos, porque permite no solo utilizarse para el cálculo de la probabilidad de default, sino también para la valoración del derivado de crédito Credit Default Swap - CDS desde el punto de vista del comprador, encontrándose oportuno el uso de este modelo cuando el mercado se caracteriza por su baja liquidez e insuficiente información estadística. Como base de aplicación del modelo se utilizó la información de un bono de referencia con vencimiento en cinco años de la empresa Ecopetrol, con el que se muestra el procedimiento para la estimación de la prima del CDS, lo que permitió hacer comparaciones entre modelo teórico y los valores disponibles en el mercado, encontrándose como resultado un valor muy similar entre estos y demostrar que el modelo se ajusta para estimar la probabilidad anual base, la probabilidad default acumulada de CDS, la prima de CDS en bonos privados, información que serviría de referencia a inversionistas para gestionar el riesgo default en bonos privados en Colombia a través del uso CDS.
The study presents the empirical application in reduced form of a model for the estimation of default probabilities, which offers benefits compared to other models because it can be used not only for the calculation of the probability of non-compliance but also for the valuation of the derivative of CDS credit from the buyer´s point of view. Using this model is appropriate when the market is characterized by low liquidity and insufficient statistical information. As the basis for the model´s application, the information on a five-year benchmark bond of the Ecopetrol oil company has been used, to show the procedure for the estimation of the CDS premium. This allowed making comparisons between the theoretical model and values available on the market. The result has been a very similar value between them, and it is shown that the model fits to estimate the annual base probability, the cumulative CDS default probability, and the CDS premium on private bonds. This information could serve as a reference for investors to manage default risk on private bonds in Colombia using CDS.
The study presents the empirical application in reduced form of a model for the estimation of default probabilities, which offers benefits compared to other models because it can be used not only for the calculation of the probability of non-compliance but also for the valuation of the derivative of CDS credit from the buyer´s point of view. Using this model is appropriate when the market is characterized by low liquidity and insufficient statistical information. As the basis for the model´s application, the information on a five-year benchmark bond of the Ecopetrol oil company has been used, to show the procedure for the estimation of the CDS premium. This allowed making comparisons between the theoretical model and values available on the market. The result has been a very similar value between them, and it is shown that the model fits to estimate the annual base probability, the cumulative CDS default probability, and the CDS premium on private bonds. This information could serve as a reference for investors to manage default risk on private bonds in Colombia using CDS.
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Riesgo default, valoración de Credit Default Swaps, Default risk, valuation of Credit Default Swaps
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Derechos de autor 2018 Revista Lebret