@article {Hull29, author = {John C. Hull and Alan D White}, title = {Valuing Credit Default Swaps I}, volume = {8}, number = {1}, pages = {29--40}, year = {2000}, doi = {10.3905/jod.2000.319115}, publisher = {Institutional Investor Journals Umbrella}, abstract = {One of the fastest growing areas of both derivatives trading and research right now is in contracts based on credit risk. The credit default swap is a standard instrument, offering the possibility of hedging against default by the issuer of an underlying bond. Several existing valuation methodologies differ in their assumptions about the payoff in case of a credit event. In this article, Hull and White present an approach based on the realistic assumption that the amount bondholders will claim in a default is based on the difference between the bond\&{\textquoteright}s post-default market value and its face value. An important contribution of this article is to use the term structure of risk-neutral implied default probabilities obtained from market prices for a set of bonds of the same issuer. The dependence of swap values on assumed recovery rates and the shape of the yield curve are explored.}, issn = {1074-1240}, URL = {https://jod.pm-research.com/content/8/1/29}, eprint = {https://jod.pm-research.com/content/8/1/29.full.pdf}, journal = {The Journal of Derivatives} }