Valuing Credit Derivatives Using an Implied Copula Approach

John C. Hull; Alan D. White

doi:10.3905/jod.2006.667547

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Valuing Credit Derivatives Using an Implied Copula Approach

John C. Hull and Alan D. White

The Journal of Derivatives Winter 2006, 14 (2) 8-28; DOI: https://doi.org/10.3905/jod.2006.667547

John C. Hull

A professor of finance and Maple Financial Group Chair in Derivatives and Risk Management at the University of Toronto in Toronto, Canada.

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For correspondence: hull@rotman.utoronto.ca

Alan D. White

A professor of finance and Peter L. Mitchelson/SIT Investment Associates Foundation Chair in Investment Strategy at the University of Toronto in Toronto, Canada.

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For correspondence: awhite@rotman.utoronto.ca

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The Journal of Derivatives

Vol. 14, Issue 2

Winter 2006

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Valuing Credit Derivatives Using an Implied Copula Approach