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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

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

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

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

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

The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements

Predescu, Mirela - 2013

A company's credit default swap spread is the cost per annum for protection against a default by the company. In this paper we analyze data on credit default swap spreads collected by a credit derivatives broker. We first examine the relationship between credit default spreads and bond yields...

Persistent link: https://www.econbiz.de/10013089717

An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches

Hull, John C.; White, Alan - 2010

In Hull and White (2006) we showed how CDO quotes can be used to imply a probability distribution for the hazard rate over the life of the CDO. This is known as the implied copula model. In this paper we develop a parametric version of the implied copula model and show how it can be used for...

Persistent link: https://www.econbiz.de/10014189778