This paper provides a methodology for valuing credit default swaps when the payoff is
contingent on default by a single reference entity and there is no counterparty defaultrisk. The …

Traditionally practitioners have used LIBOR and LIBOR-swap rates as proxies for risk-free
rates when valuing derivatives. This practice has been called into question by the credit crisis …

… * John C. Hull is a Professor of derivatives and risk management, Joseph L. Rotman
School of Management, University of Toronto. E-mail: hull@rotman.utoronto.ca. He is …

This paper extends the analysis in Valuing Credit Default Swaps I: No Counter party Default
Risk to provide a methodology for valuing credit default swaps that takesaccount of …

We present an alternative to the Gaussian copula/base correlation model for valuing CDO
tranches. Instead of implying copula correlations from market prices we imply the copula itself. …

A feature of credit markets is the large difference between probabilities of default calculated
from historical data and probabilities of default implied from bond prices (or from credit …

3 3 Measunng inteiest lates 42 3 4 Assumptions and notation 44 3 5 Foiwaid pucefoi an
investment asset 45 3 6 Known income 47 3 7 Known yield 49 3 8 Valuing forwaid contracts 49 …

In 1976 Black and Cox proposed a structural model where an obligor defaults when the value
of its assets hits a certain barrier. In 2001 Zhou showed how the model can be extended to …

This paper presents a number of new ideas concerned with the implementation of theLIBOR
market model and its extensions. It develops and tests an analytic approximationfor …

Provides finance specialists in industry and students of management with a comprehensive
set of practical procedures for evaluating the total risk in the major capital investment …