Risco de crédito e alocação ótima para uma carteira de debêntures

• Autor(a) principal: Godói, André Cadime de
• Data de Publicação: 2008
• Outros Autores: Yoshino, Joe Akira, Oliveira, Rogério de Deus
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Estudos Econômicos (São Paulo)
• Texto Completo: https://www.revistas.usp.br/ee/article/view/35934
• topic: credit risk; corporate bonds; maximum loss; Merton’s Asset Pricing Model; risco de crédito; títulos corporativos; perda máxima; Modelo de Merton

The debenture (corporate bond) is considered a fantastic financial instrument in terms of funding for the non-financial firms in the Brazilian market. The intermediation would be done in the capital market instead of through the commercial banks. The key issue for the development of this market is the financial engineering involving the credit risk (chance that the corporate issuer can default on its debt obligation). This paper proposes and tests a methodology to quantify this risk in a cross-section of Brazilian debentures. Our approach is based on Merton’s (1974) asset pricing model that uses the Black-Schole’s put option formula. The consequent optimization techniques allow us to infer the risk of debentures. By using a simple and low-cost model, we find a risk measure that is more conservative than the usual VaR (value at risk). Thus, we present a methodology for obtaining the optimum portfolio composed of debentures subject to the default risk.