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Quantificação e precificação de risco de crédito através do modelo de opções

This work is divided in two parts. In the first part, are developed the fundamental concepts to understand the Black-Scholes Model and its use is showed through an example. In the second part, lt is initially discussed the concept of firm risk. In sequence, is proved how the company can favorably change the risk-return equilibrium: accepting more risk, increasing its debt or paying additional dividends to the stockholders. Finally, it is showed how the debtholders can protect themselves from this decisions, adequately changing the interest rates to compensa te the increase in risk, maintaining the initial condition of the risk-return equilibrium.

Option Pricing Model (OPM); quantifying; pricing; risk; credito


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