Valuing Credit Derivatives Using an Implied Copula Approach

By John C. Hull, Alan G. White. 2006

170 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/276a9450b6ccf501a49a78393934e81dc90c65a3

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. A. Lopatin
2. T. Misirpashaev
3. Alan G. White
4. John C. Hull

In Finance

1. A. Lopatin
2. T. Misirpashaev
3. Alan G. White
4. John C. Hull
5. M. Krekel
6. Haibin Zhu
7. Guojing Wang
8. Xue Liang

Citations in the corpus

• Two-Dimensional Markovian Model for Dynamics of Aggregate Credit Loss (2008, methodology): “For example, this could be the random factor loadings model of Andersen and Sidenius (2005a), or a mixture of several Gaussian copulas considered by Li and Liang (2006), or the implied copula model of Hull and White (2006).”
• Dynamic Models of Portfolio Credit Risk (2008, background): “Hull et al. [2005] show that a structural model fits CDO data well when asset correlations are positively related to the default rate. Their work is consistent with that of Ang and Chen [2002], who find that the correlation between equity returns is higher during a market downturn.”