Credit Default Probability app

Wednesday, 27 July 2011 22:03 atm

Credit Default ProbabilityO spread dos instrumentos financeiros de Credit Default Swap (CDS) é o custo (por ano) pela protecção contra um eventual incumprimento de uma entidade (privada ou pública) no reembolso da dívida aos seus obrigacionistas (credores).

Com esta aplicação, usando um taxa de desconto apropriada e alguns cálculos de probabilidade, é possível obter a probabilidade de uma entidade entrar em incumprimento no reembolso da sua dívida baseado no spread dos CDS.

Mas está aplicação faz mais:

Em teoria o spread dos CDS estão proximamente relacionados com o spread das Yields das Obrigações. Então, usando a Yield para o ano n para Yield da Obrigação no ano n de uma Obrigação detida pela entidade a ser analisada e a Yield da Obrigação para o ano n para uma Obrigação risk-less (com menos risco; praticamente livre de risco), é possível estimar o spread aproximada dos CDS e assim a probabilidade de incumprimento no reembolso da divida de uma entidade.

Por exemplo, é possível usar as Yields das Obrigações do Tesouro português e comparar com as Yields das Obrigações do Tesouro alemãs e a partir dai estimar o valor do spread dos CDS.

Esta aplicação foi desenhada para tornar as suas decisões de investimento mais fáceis, convenientes e mais lucrativas.


Poder fazer o download gratuitamente no Android Market através do seguinte URL: Credit Default Probability

Requerimentos mínimos do sistema:
Sistema operativo: AndroidTM 1.5 (ou superior)

Resolução 320x480

Credit Default Probability barcode

Esta aplicação foi desenvolvida por Octávio Viana para a Associação de Investidores e Analistas Técnicos do Mercado de Capitais, baseado na seguinte bibliografia:

Blanco, R., Brennan, S., & Marsh, I., 2003 "An Empirical Analysis of the Dynamic Relationship between Investment Grade Bonds and Credit Default Swaps", Working Paper, Bank of England, May.

Deutsche Bank Research, "Valuation of a CDS contract in the real world case"

Duffie, D., 1996 "Credit Swap Valuation", Working Paper, November 6

Hull, J. & White, 2000 "Credit Default Swaps I: No Counterparty Default Risk", Journal of Derivatives, 8,1, Fall, 29-40.

Hull, J., Predescu, M. & White, 2004 "The Relationship between Credit Default Swaps Spreads, Bond Yields, and Credit Rating announcements", Working Paper, 2004, January

Litterman & Ilben T., 1991, "Corporate Bond Valuation and the Term Strucutre of Credit Spreads", Journal of Portfolio Management, Spring, pp. 52-64

Longstaff, F. A., Mithal, S. & Neis E., 2003 "The Credit Default Swap Market: Is Credit Protection Priced Correctly", Working Paper, Anderson School, UCLA, August.

DISCLAIMER OF WARRANTIES: Neither ATM and Octávio Viana guarantee the accuracy, integrity, completeness, or timeliness of the Credit Default Probability application or any results generated by it. Likewise, ATM and Octávio Viana hereby disclaim all warranties or conditions, express or implied, related to the Credit Default Probability or the results provided by it, including, but not limited, to absence of viruses and damaging, any warranties or representation that the Credit Default Probability  application will be error-free or that access thereto wil be uninterrupted, that any errors or defects will be correctable or corrected. The Credit Default Probability application maybe is not compatible with any particular device, be sure if feet in your device before buy it.

Limitations of Liability: Your use of the Credit Default Probability is solely at your own risk. Neither ATM | Investors' Associations and Octávio Viana shall have any liability (whether direct, indirect, incidental, consequential, special, exemplary or the like, including, but not limited to, investment losses or lost profits) to You or any other party arising in any way from your use of, or inability to use, the Credit Default Probability application.

No Advisory Relationship: You understand and agree that the ATM or Octávo Viana, including, but not limited to, the results and the summary that may be provided by the application, does not constitute “investment advice” of any kind or establish any sort of advisory relationship between You and ATM or Octávio Viana. You further understand and agree that ATM or Octávio Viana does not endorse or recommend any financial products that may be used in conjunction with the Credit Default Probability application.

Investment in any security involves risk that, upon redemption, the security may be worth more or less than the original investment. You are strongly encouraged to seek assistance from a financial professional to determine suitable investment options for your risk tolerance and/or obtain each financial product’s prospectus (or its equivalent) prior to investing.

Governing Law: This Agreement shall be construed under the laws of Portugal. You agree to the exclusive jurisdictions of the state or federal courts located in Porto, Portugal, for any claims or action arising in any way with respect to the Credit Default Probability application or this Agreement.

If you buy the application you are agreeing to the terms and conditions in this Agreement.

If You do not agree to the terms and conditions contained in this Agreement, don't buy the Credit Default Probability application.

Last Updated on Wednesday, 27 July 2011 23:08  
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