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The valuation of credit default swap options

Hull, John; White, Alan - In: The journal of derivatives : the official publication … 10 (2002) 3, pp. 40-50

Persistent link: https://www.econbiz.de/10001770070

Valuing credit default swaps I : no counterparty default risk

Hull, John; White, Alan - In: The journal of derivatives : the official publication … 8 (2000) 1, pp. 29-40

Persistent link: https://www.econbiz.de/10001522317

Valuing credit default swaps [Part] 2 : modeling default correlations

Hull, John; White, Alan - In: The journal of derivatives : the official publication … 8 (2001) 3, pp. 12-21

Persistent link: https://www.econbiz.de/10001581190

The relationship between credit default swap spreads, bond yields, and credit rating announcements

Hull, John; Predescu, Mirela; White, Alan - In: Journal of banking & finance 28 (2004) 11, pp. 2789-2811

Persistent link: https://www.econbiz.de/10002362016

Valuation of CDO and an n-th default CDS without Monte Carlo simulation

Hull, John; White, Alan - In: The journal of derivatives : the official publication … 12 (2004) 2, pp. 8-23

Persistent link: https://www.econbiz.de/10002535939

The valuation of correlation-dependent credit derivatives using a structural model

Hull, John; Predescu, Mirela; White, Alan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 3, pp. 99-132

Persistent link: https://www.econbiz.de/10008696412

An improved implied copula model and its application to the valuation of bespoke CDO tranches

Hull, John; White, Alan - In: Journal of investment management : JOIM 8 (2010) 3, pp. 11-31

Persistent link: https://www.econbiz.de/10008654919

Chapter 20. Credit Derivatives

Hull, John; White, Alan - 2013

This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...

Persistent link: https://www.econbiz.de/10014025358

Risk management and financial institutions

Hull, John - 2007

Persistent link: https://www.econbiz.de/10004878366

Options, futures & other derivatives

Hull, John - 2000 - 4. ed., internat. ed.

Persistent link: https://www.econbiz.de/10001388329