PT  - JOURNAL ARTICLE
AU  - John C Hull
AU  - Alan D White
TI  - Valuing Credit Default Swaps II
AID  - 10.3905/jod.2001.319153
DP  - 2001 Feb 28
TA  - The Journal of Derivatives
PG  - 12--21
VI  - 8
IP  - 3
4099  - https://pm-research.com/content/8/3/12.short
4100  - https://pm-research.com/content/8/3/12.full
AB  - “In the Fall 2000, Journal of Derivatives, Hull and White presented a model for pricing credit default swaps based on the realistic assumption that in a default the bondholders will claim the difference between the bond&'s post-default market value and its face value. An important feature of the approach is the use of market prices for a set of bonds from the same issuer to obtain a term structure of risk-neutral implied default probabilities. This article extends the model significantly to allow for the existence of multiple correlated default risks. Correlations are important either when the swap is subject to counterparty credit risk, or when there are multiple underlyings with correlated risks, as in a basket default swap.”