Credit Default Swaps
Derivative Contracts Articles
Authors
In the credit default swap, banks buy default protection from the counterparties by paying a premium when the swap is initiated.
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Research Papers
Valuing Credit Default Swaps I: No Counterparty Default Risk,.
Journal of Derivatives, Vol. 8, No. 1, (Fall 2000), pp. 29-40 (John Hull with Alan White)
Valuing Credit Default Swaps II: Modeling Default Correlations,
Journal of Derivatives, Vol. 8, No. 3, (Spring 2001), pp. 12-22 (John Hull with Alan White)
Journal of Derivatives, Vol. 8, No. 1, (Fall 2000), pp. 29-40 (John Hull with Alan White)
Valuing Credit Default Swaps II: Modeling Default Correlations,
Journal of Derivatives, Vol. 8, No. 3, (Spring 2001), pp. 12-22 (John Hull with Alan White)
THE RELATIONSHIP BETWEEN CREDIT DEFAULT SWAP SPREADS, BOND YIELDS, AND CREDIT RATING ANNOUNCEMENTS
Hull et al.
Bond Prices, Default Probabilities, and Risk Premiums
Journal of Credit Risk, Vol 1, No. 2 (Spring 2005), 53-60 (John Hull with Mirela Predescu and Alan White)
Journal of Credit Risk, Vol 1, No. 2 (Spring 2005), 53-60 (John Hull with Mirela Predescu and Alan White)
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