The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model

By John C. Hull, Mirela Predescu, Alan G. White. 2010

128 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/7aa9a82a813b498c0cc862a056b2929cef795bb5

Citations in the corpus

• Dynamic Models of Portfolio Credit Risk (2008, unknown): “(The tranches for this portfolio are 0 to 3%, 3 to 7%, 7 to 10%, 10 to 15%, 15 to 30%, and 30 to 100”