Abstract

Credit derivatives are important financial instruments used to transfer credit risk of loans and other assets. Among them stands out the so-called sovereign credit default swap (CDS), which works as a kind of insurance against sovereign credit risk. The international literature has shown a correlation between sovereign CDS, CDS index and stock index. The present study aims to identify and analyze the determinants factors of the Brazilian sovereign credit default swap spreads (CDSs Brazil), from a multiple linear regression model adjusted for the period May 2009 to May 2014. The results show that the S&P 500 has a greater effect on the CDSs Brazil, followed by the factors Bovespa index (Brazilian stock market index), iTraxx index, European index CDS, FX volatility and CDS USA. Moreover, the CDSs Brazil has a positive relationship with the stock indexes and a negative relationship with the other variables, results similar to some studies in the literature.

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