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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26687
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| Title: | VALUING CREDIT DEFAULT SWAPS II: MODELING DEFAULT CORRELATIONS |
| Authors: | Hull, John
White, Alan
Ontario, Toronto |
| Issue Date: | Apr-2000 |
| Series/Report no.: | FIN-00-022 |
| Abstract: | This paper extends the analysis in Valuing Credit Default Swaps I: No
Counter party Default Risk to provide a methodology for valuing credit
default swaps that takes account of counterparty default risk and allows
the payoff to be contingent on defaults by multiple reference entities.
It develops a model of default correlations between different corporate
or sovereign entities. The model is applied to the valuation of vanilla
credit default swaps when the seller may default and to the valuation of
basket credit default swaps. |
| URI: | http://hdl.handle.net/2451/26687 |
| Appears in Collections: | Finance Working Papers
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