Valoración de credit default swap aplicación del modelo de Jarrow y Turnbull en un bono de deuda privada en Colombia

The study presents the empirical application in reduced form of a model for the estimation of default probabilities, which offers benefits compared to other models because it can be used not only for the calculation of the probability of non-compliance but also for the valuation of the derivative of CDS credit from the buyer´s point of view. Using this model is appropriate when the market is characterized by low liquidity and insufficient statistical information. As the basis for the model´s application, the information on a five-year benchmark bond of the Ecopetrol oil company has been used, to show the procedure for the estimation of the CDS premium. This allowed making comparisons between the theoretical model and values available on the market. The result has been a very similar value between them, and it is shown that the model fits to estimate the annual base probability, the cumulative CDS default probability, and the CDS premium on private bonds. This information could serve as a reference for investors to manage default risk on private bonds in Colombia using CDS.