This paper applies the methodology developed by Forte and Peña (2006) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more extensive international sample of corporations (96 US, European and Japanese companies) and a longer time...

An empirical application of Hull-White model (2000) to the Spanish market is presented. This model provides an expression to calculate the payment made by credit default swap (CDS) buyer when there is no counterparty default risk. Moreover, it is assumed that the yield par curve, the recovery...