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Os derivativos e a crise do subprime : o capitalismo em sua "quarta dimensão"; Derivatives and the subprime crisis : capitalism in its "fourth dimension"

Guilherme Santos Mello
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 26/02/2013 Português
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46.37%
Esta Tese tem por objetivo estudar a importância central assumida pelo mercado de derivativos na dinâmica do capitalismo contemporâneo, debruçando-se particularmente sobre o mercado de derivativos de crédito e sua contribuição para a formação e eclosão da crise financeira que abalou os EUA e o mundo em 2007/2008. Três aspectos fundamentais são analisados para elaborar uma explicação acerca da crise em questão: primeiramente, elencam-se os elementos sistêmicos que serviram como pano de fundo para a crise, argumentando-se que o capitalismo adentrou uma nova "dimensão" ao longo dos anos 1990 e 2000. Esta dimensão esta marcada pela forma derivativa, que altera as relações de propriedade, introduz novos agentes e motivações, aumenta a integração financeira entre os agentes e transforma a lógica de precificação dos principais mercados financeiros. Em segundo lugar, argumenta-se contrariamente à abordagem da "macroeconomia tradicional" acerca das raízes da crise e dos desequilíbrios globais, pleiteando se uma explicação "monetária" para tais fenômenos, introduzindo como ponto de importância central o papel dos mercados de derivativos na determinação dos principais preços macroeconômicos. Por fim, descreve-se a transformação pela qual passou o mercado de crédito imobiliário norte-americano...

Credit derivatives : market dimensions, correlation with equity and implied option volatility, regression modeling and statistical price risk

Kureshy, Imran, A., 1965-
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 148 leaves; 9571273 bytes; 9571080 bytes; application/pdf; application/pdf
Português
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This research thesis explores the market dimensions of credit derivatives including the prevalent product structures, leading participants, market applications and the issues confronting this relatively new product. We find the market continues to experience significant growth particularly in single name default swaps. This growth is fueled in part by increased participation of hedge funds and applications beyond risk management as an acceptable trading instrument. As this market continues to grow it must address the need for specialized technology infrastructure to support continued growth and consistency in documentation to ensure confidence. We then set out to explore the relationship between CDS spreads and the equity markets. We find a strong correlation with implied option volatility. While this relationship does not suggest causation, the magnitude of these relationships should assist market participants in developing effective trading and portfolio management strategies. We also explore the volatility of default spreads and find that there is wide disparity in volatility among common credit ratings. This leads to a suggestion that market participants may be able to reduce spread volatility and earn enhanced risk-adjusted yields by constructing credit portfolios based on spread widening risk rather than default risk. Finally...

Credit derivatives in Brazil

Rüther, Henrique
Fonte: Massachusetts Institute of Technology Publicador: Massachusetts Institute of Technology
Tipo: Tese de Doutorado Formato: 50 p.
Português
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The amounts outstanding of credit derivatives have grown exponentially over the past years, and these financial intruments that allow market participants to trade credit risk have become very popular in Europe and in the United States. Although the Central Bank of Brazil passed regulation in 2002 allowing the trade of credit derivatives in the domestic market, almost nothing happened in this arena, and the credit derivatives market in Brazil barely exists. This thesis aims at investigating why such a market has not developed in one of the largest economies of the world. The thesis starts by explaining the mechanism of one of the most popular credit derivatives - the credit default swap (CDS). Then, since bonds and CDS are closely related, the thesis provides short descriptions of the Brazilian market for government issued bonds and corporate bonds. Subsequently we assess the Brazilian regulation for credit derivatives and start to find some reasons why the market has not been developed. We then approach a real life example of estimating the CDS premium for a local company using the no-arbitrage argument and compare the results with the premium of the offshore CDS available for the same company.; (cont.) We find that the credit rating upgrades do not explain the changes in the domestic credit spread for the chosen company. Moreover...

Food, Financial Crises, and Complex Derivatives : A Tale of High Stakes Innovation and Diversification

Songwe, Vera
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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The 2008 food price crisis was an integral part of the financial crisis. In fact, the food price crisis was the second crisis in a chain of events that began in 2007 with the mortgage crisis, and culminated in the worst financial crisis since the Great Depression. Contrary to what was generally believed in 2008, developing countries, particularly food-importing countries, were part of the early wave of the financial crisis via food price increases, and later suffered another wave via the real sector. The events leading up to the food crisis were global and complex in nature. As a result, as the G-20 discusses solutions to the financial crisis, any new framework must include developing countries, especially low-income countries. In addition, developing countries, especially in Africa, must pay close attention to the work of the Financial Stability Board (FSB) and its recommendations on financial market reform, and over-the-counter (OTC) derivatives in particular, because these reforms will have important consequences for their housing...

Copulas for credit derivative pricing and other applications.

Crane, Glenis Jayne
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2009 Português
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46.19%
Copulas are multivariate probability distributions, as well as functions which link marginal distributions to their joint distribution. These functions have been used extensively in finance and more recently in other disciplines, for example hydrology and genetics. This study has two components, (a) the development of copula-based mathematical tools for use in all industries, and (b) the application of distorted copulas in structured finance. In the first part of this study, copulabased conditional expectation formulae are described and are applied to small data sets from medicine and hydrology. In the second part of this study we develop a method of improving the estimation of default risk in the context of collateralized debt obligations. Credit risk is a particularly important application of copulas, and given the current global financial crisis, there is great motivation to improve the way these functions are applied. We compose distortion functions with copula functions in order to obtain greater flexibility and accuracy in existing pricing algorithms. We also describe an n-dimensional dynamic copula, which takes into account temporal and spatial changes.; Thesis (Ph.D.) - University of Adelaide, School of Mathematical sciences...

Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; Romo, Juan
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /09/2009 Português
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66.46%
This paper analyzes possible arbitrage opportunities in credit derivatives markets using selffinancing strategies combining Credit Default Swaps and Asset Swaps Packages. We present a new statistical arbitrage test based on the subsampling methodology which has lower Type I error than existing alternatives. Using four different databases covering the period from 2005 to 2009, long-run (cointegration) and statistical arbitrage analysis are performed. Before the subprime crisis, we find long-run arbitrage opportunities in 26% of the cases and statistical arbitrage opportunities in 24% of the cases. During the crisis, arbitrage opportunities decrease to 8% and 19%, respectively. Arbitrage opportunities are more frequent in the case of relatively low rated bonds and bonds with a high coupon rate.

The effect of liquidity on the price discovery process in credit derivatives markets in times of financial distress

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; Romo, Juan
Fonte: Taylor & Francis Group Publicador: Taylor & Francis Group
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em //2011 Português
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This paper analyses the role of liquidity in the price discovery process. Specifically, we focus on the credit derivatives markets in the context of the subprime crisis. We present a theoretical price discovery model for the asset swap packages (ASPs), bond and credit default swap (CDS) markets and then we test the model with data from 2005 to 2009 on Euro-denominated non-financial firms. Our empirical results show that the ASP market clearly leads the bond market in the price discovery process in all cases, while the leadership between ASPs and CDSs is very sensitive to the appearance of the subprime crisis. Before the crisis, the CDSs market leads the ASP market, but during the crisis, the ASP market leads the CDS market. The liquidity, measured as the relative number of market participants, helps to explain these results.

An empirical analysis of the dynamic dependences in the European Corporate credit markets : bonds vs. credit derivatives

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio
Fonte: Social Science Research Network Publicador: Social Science Research Network
Tipo: info:eu-repo/semantics/publishedVersion; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /02/2012 Português
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In this paper we provide new evidence on the determinants of credit spread returns and their dynamic dependences in three European corporate credit markets: the Bond market (cash market), the Credit Default Swap (CDS) market (derivatives market), and the Asset Swap Package (ASP) market (with properties of both derivatives and cash markets). Using daily data from 2005 to 2009, we find that credit spread returns are primarily driven by innovations and to a lower extent by changes in the expected loss component, the risk premium component, the liquidity premium component and the inertial component whose relative importance changes over time. The intra-market dependence during the current crisis decreases for bonds and ASP innovations but increases slightly for CDS. ASP and bond innovations are closely related, suggesting that the cash component dominates the ASP innovations’ behavior. On the other hand CDS’s innovations are unrelated with both the bonds’ and the ASP’s innovations, suggesting that the derivatives element in the ASP contract (due to the implicit interest rate swap) is essentially unrelated with the innovations in the pure credit derivative contract (CDS).

Three essays on credit derivatives and liquidity

Arakelyan, Armen
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Tese de Doutorado Formato: application/pdf
Português
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This thesis consists of three empirical essays on pricing credit derivatives and the impact of liquidity on the prices of credit derivatives. In essay one, I investigate empirically the pricing of Collateralized Debt Obligations (CDO) within the framework of copula models. In essay two I analyze the impact of illiquidity on Credit Default Swap (CDS) spreads on an individual level. In essay three I analyze the effect of market wide illiquidity on portfolio CDS spreads on an aggregate level. Overall, I contribute to the existing literature by proving evidence on the importance of liquidity on CDS spreads on both individual and aggregate level.---------------------------Esta tesis consiste de tres ensayos empíricos sobre la valoración de derivados de crédito y sobre el efecto de la iliquidez sobre los precios de estos derivados. En el primer ensayo, se analiza empiricamente la valoración de obligaciones de deuda colateralizada (CDO) utilizando funciones de cópulas. En el segundo ensayo se analiza el impacto de la falta de liquidez sobre los Credit Default Swap (CDS) a nivel individual. En el tercer ensayo, se analiza el impacto de iliquidez agregada sobre los spreads de carteras de CDS agregadas. En general, esta tesis contribuye a la literatura existente...

Four essays on the interaction between credit derivatives and fixed income markets

Mayordomo, Sergio
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: info:eu-repo/semantics/doctoralThesis; info:eu-repo/semantics/doctoralThesis Formato: application/octet-stream; application/octet-stream; application/pdf
Português
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In this thesis, I study the interaction between Credit Derivatives and Fixed Income Markets, both corporate and sovereign, from different perspectives. In the case of corporate, I study arbitrage, price discovery and financial integration. In the case of sovereign, I focus on the European Monetary Union (EMU) sovereign bond market and analyze the potential arrival of a common risk free rate for the EMU and the advantages derived from it. First, we analyze long-run and statistical arbitrage opportunities in credit deriva- tives markets using strategies combining Credit Default Swaps (CDSs) and Asset Swaps (ASPs). We present a new statistical arbitrage test which has lower Type I error and selects arbitrage opportunities with lower downside risk than existing alternatives. This test allows us to study for arbitrage opportunities in the appropriate way by focusing our analysis on the cases in which long positions in CDSs and ASPs are needed. Using four di¤erent databases from 2005 to 2009, we find long-run and statistical arbitrage opportunities before the current crisis in 27% and 29% of the cases, respectively. During the crisis, they decrease to 9% and 17%, respectively. Specifically, CDS spreads are too low in comparison with asset swap spreads. This fact puts into question the e¢ ciency of this segment of the CDS market. After considering funding and trading costs...

Public Credit Registries as a Tool for Bank Regulation and Supervision

Girault, Matias Gutierrez; Hwang, Jane
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
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This paper is about the importance of the information in Public Credit Registries (PCRs) for supporting and improving banking sector regulation and supervision, particularly in the light of the new approach embodied in Basel III. Against the backdrop of the financial crisis and the existence of information data gaps, the importance of complete, accurate and timely credit information in the financial system is evident. Both in normal times and during crises, authorities need a device that allows them to look at the universe of credits in a detailed and readily way. And more importantly, they need to develop tools that exploit as much as possible the information therein contained. PCR databases contain individual credit information on borrowers and their credits which makes it possible to implement advanced techniques that measure banks' credit risk exposure. It allows optimizing the prudential regulation ensuring that provisioning and capital requirements are properly calibrated to cover expected and unexpected losses respectively. It also permits validating banks' internal rating systems...

Credit Risk, Insurance and Banking: A Study of Moral Hazard and Asymmetric Information

Thompson, JAMES
Fonte: Quens University Publicador: Quens University
Tipo: Tese de Doutorado Formato: 498127 bytes; application/pdf
Português
Relevância na Pesquisa
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This dissertation investigates agency problems within risk transfer contracts. We pay particular attention to the consequences of credit risk transfer in the context of banking. The first two chapters provide an introduction and literature review. We then analyze the effect of counterparty risk on financial insurance contracts in the following two chapters, and uncover a new moral hazard problem on the part of the insurer. If the insurer believes it is unlikely that a claim will be made, it is advantageous for them to invest in assets which earn higher returns, but may not be readily available if needed. We find that counterparty risk can create an incentive for the insured to reveal superior information about the risk of their "investment". In particular, a unique separating equilibrium may exist even in the absence of any signalling device. This constitutes a first example in which the separation of types can be achieved without a costly signalling device. Our research suggests that regulators should be wary of risk being offloaded to other, possibly unstable parties, especially in financial markets such as that of credit derivatives. The fifth chapter models loan sales and loan insurance (e.g. credit default swaps) as two key instruments of risk transfer within the banking environment. Recent empirical evidence suggests that the asymmetric information problem is as relevant in loan insurance as it is in loan sales. Contrary to previous literature...

Valoración de Credit Default Swaps (CDS) : una aproximación Montecarlo

Arbeláez Zapata, Juan Camilo
Fonte: Universidad EAFIT; Maestría en Finanzas; Escuela de Economía y Finanzas Publicador: Universidad EAFIT; Maestría en Finanzas; Escuela de Economía y Finanzas
Tipo: masterThesis; Tesis de Maestría; acceptedVersion
Português
Relevância na Pesquisa
46.3%
Este artículo presenta un modelo de valoración de Credit Default Swaps (CDS) sobre bonos corporativos con base en el método de Simulación de Montecarlo donde el riesgo de crédito sigue un proceso estocástico del tipo Stopped Poisson. Este modelo es una alternativa interesante para la valoración de CDS en países donde el mercado de bonos corporativos presenta baja liquidez y el mercado de derivados de crédito es incipiente o inexistente, tal como es el caso de Colombia. Dentro de los principales resultados se encuentra que el modelo propuesto tiene un mejor desempeño para la valoración de primas de CDS sobre títulos calificados con grado de inversión que aquellos con grado de especulación. Además se demuestra que el valor de las primas de los CDS no es muy sensible a cambios en la tasa de recuperación y en la tasa de interés libre de riesgo.; 35 p.; This paper presents a Credit Default Swap (CDS) pricing model. The estimation of the model is based on the Montecarlo method where the credit risk is modelled based on a Stopped Poisson stochastic process. This is an interesting alternative to the pricing of CDS in countries where the corporate bonds market lacks liquidity or a credit derivative market is just about to develop as it is the case in Colombia. The model performs better for the pricing of CDS on securities with investment grade relative to speculative ones. Also...

Credit Default Swaps (CDS) y Collateral Debt Obligation (CDO) derivados financieros responsables de la crisis sub-prime de 2008 en Estados Unidos y una guía para el desarrollo del mercado de derivados exóticos en Colombia

Parra Abisambra, Maria Alejandra; Guevara Téllez, Christian Danilo
Fonte: Facultad de administración Publicador: Facultad de administración
Tipo: info:eu-repo/semantics/bachelorThesis; info:eu-repo/semantics/acceptedVersion Formato: application/pdf
Publicado em 14/01/2014 Português
Relevância na Pesquisa
46.32%
La crisis financiera hipotecaria de 2008 en la que se declaró en quiebra el banco de inversión Lehman Brothers, se desarrolló en un ambiente que contemplaba apalancamientos financieros excesivos y el uso de derivados financieros de crédito innovadores. Razón por la cual, a partir del estudio de caso de quiebra de este banco de inversión y el análisis de las causas y consecuencias del ambiente desregulatorio que surgió en Estados Unidos desde la década de los 30 hasta el 2000, se orienta la investigación a indagar sobre lo que sucede en términos regulatorios y empresariales en el mercado de valores colombiano y así lograr definir objetivos que permitan el crecimiento del mercado de derivados exóticos en Colombia bajo un marco de responsabilidad financiera y ética empresarial.; CENTRO DE ESTUDIOS EMPRESARIALES PARA LA PERDURABILIDAD; The 2008 U.S. subprime mortgage crisis where investment bank Lehman Brothers went bust was developed in an excessive financial leverage environment that included the use of innovative credit derivatives. Therefore from the investment bank bankruptcy case study and the analysis of causes and consequences of the U.S. deregulatory environment since the early 30's until 2000, the research aims to investigate about Colombian Stock Market regulatory and Corporate Responsibility issues to define objectives focused on the growth of the Colombian Exotic Derivatives Market under financial responsibility and business ethics framework.

Multilevel simulation of functionals of Bernoulli random variables with application to basket credit derivatives

Bujok, Karolina; Hambly, Ben; Reisinger, Christoph
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/11/2012 Português
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We consider $N$ Bernoulli random variables, which are independent conditional on a common random factor determining their probability distribution. We show that certain expected functionals of the proportion $L_N$ of variables in a given state converge at rate 1/N as $N\rightarrow \infty$. Based on these results, we propose a multi-level simulation algorithm using a family of sequences with increasing length, to obtain estimators for these expected functionals with a mean-square error of $\epsilon^2$ and computational complexity of order $\epsilon^{-2}$, independent of $N$. In particular, this optimal complexity order also holds for the infinite-dimensional limit. Numerical examples are presented for tranche spreads of basket credit derivatives.

Credit derivatives: instruments of hedging and factors of instability. The example of ?Credit Default Swaps? on French reference entities

Rey, Nathalie
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 20/11/2009 Português
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Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles of credit derivatives in general and CDS in particular, we construct two difference VAR models on the series: the share return rates, the variation in bond spreads and the variation in CDS spreads for thirteen French companies, with the aim of bringing to light the relations between these three markets. According to these models, there is indeed an interdependence between the French share, CDS and bond markets, with a strong influence of the share market on the other two. This interdependence increases during periods of tension on the markets (2001-2002, and since the summer of 2007).; Comment: 27

Risk Premia and Optimal Liquidation of Credit Derivatives

Leung, Tim; Liu, Peng
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
46.42%
This paper studies the optimal timing to liquidate credit derivatives in a general intensity-based credit risk model under stochastic interest rate. We incorporate the potential price discrepancy between the market and investors, which is characterized by risk-neutral valuation under different default risk premia specifications. We quantify the value of optimally timing to sell through the concept of delayed liquidation premium, and analyze the associated probabilistic representation and variational inequality. We illustrate the optimal liquidation policy for both single-named and multi-named credit derivatives. Our model is extended to study the sequential buying and selling problem with and without short-sale constraint.; Comment: 30 pages

Credit derivatives, the liquidity of bank assets and banking stability

Wagner, Wolf
Fonte: CFAP, Cambridge Judge Business School, University of Cambridge Publicador: CFAP, Cambridge Judge Business School, University of Cambridge
Tipo: Working Paper; published version
Português
Relevância na Pesquisa
66.36%
The emerging markets for credit derivatives have improved the liquidity of bank assets by providing banks with various new possibilities for selling and hedging their risks. This paper examines the consequences for banking stability. In a simple model where liquidation of bank assets is costly, we show that increased asset liquidity benefits stability by encouraging a representative bank to reduce the risks on its balance sheet. Stability is further enhanced because the bank can now liquidate assets in a crisis more easily. However, we find that these stability effects are counteracted by increased risk-taking by the bank. Overall, stability actually falls because the improved possibilities for liquidating assets in a crisis make a crisis less costly for the bank. The bank therefore takes on an amount of risk that more than offsets the initial positive impact on stability.

The Bankers Know Best: How Regulatory Policy Shaped the Rise and Fall of the Credit Default Swap Market

Tesarfreund, Matthew
Fonte: Universidade Duke Publicador: Universidade Duke
Publicado em 12/09/2011 Português
Relevância na Pesquisa
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Many critics partially attribute the severity of the 2008 financial crisis to a lack of regulatory oversight over credit derivatives. This paper will examine the governmental and private regulatory systems that aided the proliferation of these complex “financial weapons of mass destruction” and the ideological underpinnings that blinded users and regulators alike to their destructive power, focusing on credit default swaps (CDS), the most common credit derivative. Motivated by a desire to foster market growth and emboldened by their faith in financial innovation and the power of markets to self-regulate, public officials largely left the finance industry to its own devices. With that freedom the industry put in place structures that allowed the market to flourish. That is until an economic shock, in the form of a decline in housing prices, crippled an industry built on a foundation hollowed by its neglect of systemic risk.; Winner of the 2011 Durden Prize

Derivativos de crédito: aspectos jurídicos; Credit derivatives: legal aspects

Rodrigues, Rodrigo Alves
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 08/04/2015 Português
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66.46%
A presente tese objetiva estudar o Credit Default Swap (CDS) e o Total Return Swap (TRS), que são os derivativos de crédito cuja negociação é permitida no país. Analisaremos a utilização destes instrumentos financeiros no sistema bancário, seus efeitos deletérios no mercado financeiro, o modo como são regulados no direito brasileiro, bem como as recentes alterações legislativas nos Estados Unidos e União Europeia pós crise de 2008.; This thesis aims at studying the Credit Default Swap (CDS) and the Total Return Swap (TRS), which are credit derivatives whose negotiation is permitted in the country. We will analyze the use of these financial instruments in the banking system, its deleterious effects on the financial market, the way they are regulated in Brazilian law, as well as the recent legislative changes in the United States and European Union after the 2008 crisis.