RT Journal Article
SR Electronic
T1 Valuing Credit Default Swaps II
JF The Journal of Derivatives
FD Institutional Investor Journals
SP 12
OP 21
DO 10.3905/jod.2001.319153
VO 8
IS 3
A1 John C Hull
A1 Alan D White
YR 2001
UL https://pm-research.com/content/8/3/12.abstract
AB “In the Fall 2000, Journal of Derivatives, Hull and White presented a model for pricing credit default swaps based on the realistic assumption that in a default the bondholders will claim the difference between the bond&'s post-default market value and its face value. An important feature of the approach is the use of market prices for a set of bonds from the same issuer to obtain a term structure of risk-neutral implied default probabilities. This article extends the model significantly to allow for the existence of multiple correlated default risks. Correlations are important either when the swap is subject to counterparty credit risk, or when there are multiple underlyings with correlated risks, as in a basket default swap.”