J. Hull and A. White (2000), "Valuing credit default swaps ii: Modeling default correlations", Journal of Derivatives, 8, 897-907. Home/Search Document Details and Download
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Valuing Credit Default Swaps I: No Counterparty Default Risk - Hull, White (2000) Self-citation (Hull White) (Correct)
....about the impact of the assumptions on CDS valuations. We test the sensitivity of our valuations to assumptions about the amount claimed in the event of a default and the expected recovery rate. We also test whether approximate no arbitrage arguments give accurate valuations. In a later paper, Hull and White (2000), we will explain how the analysis can be extended to cover situations where the payo# is contingent on default by multiple reference entities and situations where there is counterparty default risk. 4 1. Estimation of Default Probabilities The valuation of a credit default swap requires ....
Hull, J. C. and A. White, "Valuing Credit Default Swaps II: Modeling Default Correlations, " Working Paper in progress, University of Toronto, 2000.
Modelling Default Correlation with Multivariate Intensity.. - Prampolini (2001) (Correct)
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J. Hull and A. White (2000), "Valuing credit default swaps ii: Modeling default correlations", Journal of Derivatives, 8, 897-907.
Extreme Events and Multi-Name Credit Derivatives - Mashal, Naldi, Zeevi (2003) (Correct)
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Hull, J. and A. White. 2001. Valuing credit default swaps II: modeling default correlation. Journal of Derivatives, 8(3):12--22.
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