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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26688
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| Title: | VALUING CREDIT DEFAULT SWAPS I: NO COUNTERPARTY DEFAULT RISK |
| Authors: | Hull, John
White, Alan
Ontario, Toronto |
| Issue Date: | Apr-2000 |
| Series/Report no.: | FIN-00-021 |
| Abstract: | This paper provides a methodology for valuing credit default swaps when
the payoff is contingent on default by a single reference entity and
there is no counterparty default risk. The paper tests the sensitivity
of credit default swap valuations to assumptions about the expected
recovery rate. It also tests whether approximate no-arbitrage arguments
give accurate valuations and provides an example of the application of
the methodology to real data. In a companion paper entitled Valuing
Credit Default Swaps II: Modeling Default Correlation, the analysis is
extended to cover situations where the payoff is contingent on default
by multiple reference entities and situations where there is
counterparty default risk. |
| URI: | http://hdl.handle.net/2451/26688 |
| Appears in Collections: | Finance Working Papers
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