Valuing Credit Default Swaps I: No Counterparty Default Risk

By Bruce D. Phelps. 2001

224 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/73000da8b28cbf018ca224c03d231067c9b2713f

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Citations in the corpus

CORRELATED DEFAULT WITH INCOMPLETE INFORMATION (2004, unknown): “Hull and White (2000a) and Avellaneda and Zhu (2001) take the threshold to be an unknown deterministic function of time and estimate it from observed defaultable bond prices.”
The Impact of Earnings on the Pricing of Credit Default Swaps (2007, background): “…derivatives typically yields poor results, probably because the parameters of the firm’s asset value process are difficult to observe.7 Reduced form models such as those by Das (1995), Das and Sundaram (1998) and Hull and White (2000a, 2000b) do a better job at directly pricing credit derivatives.”
Elimination of systemic risk in financial networks by means of a systemic risk transaction tax (2014, background): “To allow defaults at any time, valuation can be done similarly to credit risk models as for example for credit default swaps (Hull and White 2000, 2001, Hull 2012).”
Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis (2012, background): “Theoretically, in the absence of arbitrage opportunity, the CDS premium should be equal to the bond spread for the same borrower and maturity (Du e (1999), Hull, Predescu and White (2004) and Hull and White (2000)).”
Liquidity Risk Premia in Unsecured Interbank Money Markets (2009, unknown): “Du¢ e (1999) and Hull and White (2000) argue that the CDS spread should approximately equal the di¤erence between the yield of a par bond of the reference entity that matures when the CDS matures and the risk free rate, i.e. the 6See for example Du¢ e (1999) and Hull and White (2000).”
Sovereign CDS and bond pricing dynamics in emerging markets: Does the cheapest-to-deliver option matter? (2011, unknown): “, CDS BS p p = ), as discussed in Duffie (1999) and Hull and White (2000). In contrast, all nine”
Measuring and Managing Credit Risk (2004, background): “See, for example, Hull and White (2000) and Avellaneda and Zhu (2001).”
Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (2010, background): “Finally, the literature has often found it difficult to separately identify the recovery rate and the default ar- rival rate using credit spread data alone (Houweling and Vorst (2005), Hull and White (2000), and Longstaff, Mithal, and Neis (2005)).”
Merton's model, credit risk and volatility skews (2005, background): “…we will refer to as an “observation” on the five-year CDS spread as the average of the maximum bid and minimum offer.10 As shown by Duffie (1999) and Hull and White (2000), the five-year credit default swap spread is, in theory, very close to the credit spread of the yield on a five-year par…”
The multi-layer network nature of systemic risk and its implications for the costs of financial crises (2015, unknown): “As is the case with other credit risk models, for example models for credit default swaps [55, 56], we assume that default events and recovery rates are mutually independent.”