Projeção da probabilidade de default de uma empresa através do seu smile de volatilidade

• Autor(a) principal: Ito, Fabio Yoshikazu
• Data de Publicação: 2021
• Tipo de documento: Tese
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: https://hdl.handle.net/10438/31324
• topic: Jump to ruin; Probabilidade de default; Credit default swap; Probabilidade de default; Smile de Volatilidade; Economia; Engenharia financeira; Teoria da previsão; Ações (Finanças); Merton, Modelo de

The Merton (1976) model calculates the option price considering jumps on the security price, for our work we are going to use a special case where the security price goes immediately to zero (Jump to Ruin). One parameter to calculate the option price in this particular case is the default probability, inverting the logic of the model, we are going to calculate the default probability using the option prices. For this, we are going to use the Equity of Petrobras (PETR4), that is, we will calculate we default probability of Petrobras. In order to check if our work is valid we will compare the default probabilities calculated by the Merton (1976) Model with the the equivalent Credit Default Swap (CDS). Knowing that Options does not have liquidity in mid and long maturities and CDS does not have it in short maturities, we are going to see that the comparison was not satisfactory. As suggestion to use the model in a different way, we will use the default probability from the CDS to find the volatility Smile in options for mid and long maturities.