Valuation of a CDO and an n-th to Default CDS Without Monte Carlo Simulation

By John C. Hull, Alan G. White. 2004

578 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/604631c0aad996647c4c7121f78e4e537f2ee390

How researchers see this paper

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

In Finance

1. Alan G. White
2. Haibin Zhu
3. John C. Hull
4. Hao Zhou
5. Xin Huang
6. Rüdiger Frey
7. J. Backhaus
8. M. Krekel

In Statistics and Probability

1. Alan G. White
2. John C. Hull
3. M. Krekel
4. Rüdiger Frey
5. J. Backhaus
6. Guojing Wang
7. Xue Liang
8. Xin Huang

Citations in the corpus

• Valuing Credit Derivatives Using an Implied Copula Approach (2006, methodology): “The only differences are a) it is necessary to develop the procedure for calculating the cj’s and λkj’s and b) it is necessary to use a algorithm such as that in Andersen et al [2003] or Hull and White [2004] to calculate loss distributions on a nonhomogeneous portfolio.”
• PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES (2008, background): “…but conditionally independent default times such as Duffie & Garleanu (2001); factor copula models such as Li (2001), Laurent & Gregory (2005), Hull & White (2004); models with direct interaction between default intensities such as Jarrow & Yu (2001), Avellaneda & Wu (2001), Davis & Lo…”
• Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis (2009, unknown): “…coefficients can be different for each pair of banks.8 The heterogeneity in correlations can have important implications on the quantitative results, as dispersion in correlation can affect the tail distribution of portfolio losses (see Hull and White, 2004; Tarashev and Zhu, 2008a, for example).”
• A framework for assessing the systemic risk of major financial institutions (2009, methodology): “This paper follows the second approach and adopts the suggestion by Hull and White (2004) to use the equity return correlation as a proxy for the asset return correlation.”
• Pricing Distressed CDOs with Base Correlation and Stochastic Recovery (2008, methodology): “The Bucketing algorithm in [2, Hull & White (2004)] must be slightly generalised to calculate the loss distribution with stochastic recovery rates.”
• Semi-Analytical Valuation of Basket Credit Derivatives in Intensity-Based Models (2005, background): “For more details, refer to e.g. Duffie (1999) or Hull and White (2000).”
• On a reduced form credit risk model with common shock and regime switching (2012, methodology): “…this class of model, there are four major approaches for generating default dependence: the copula models such as Schonbucher and Schubert (2001), Hull and White (2004), the interacting intensities models such as Davis and Lo (2001), Yu (2007), the conditionally independent default models such…”
• Conditional Euro Area Sovereign Default Risk (2014, unknown): “In particular, our article relates closely to the statistical literature for multiple defaults, such as, for example, Li (2001), Hull and White (2004), and Avesani, Pascual, and Li (2006).”
• The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model (2010, unknown): “The survival time copula model has been extended in a number of ways by authors such as Andersen and Sidenius (2004), Giesecke (2003), and Hull and White (2004).”
• A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009, methodology): “Another example is provided by the implied copula as discussed in Hull and White [2006]. Any implied copula is associated with smaller dependence than in the comonotonic case.”
• Understanding the Risk of Synthetic CDOs (2004, background): “See Andersen, Sidenius and Basu (2003) and Hull and White (2003) for examples.”