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- Title
Valuing Credit Default Swaps I: No Counterparty Default Risk.
- Authors
Hull, John C.; White, Alan
- Abstract
This article 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 research 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.
- Subjects
DEFAULT (Finance); REPUDIATION (Public finance); PUBLIC finance
- Publication
Journal of Derivatives, 2000, Vol 8, Issue 1, p29
- ISSN
1074-1240
- Publication type
Article
- DOI
10.3905/jod.2000.319115