O 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.
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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.
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