Kurson, Ken
ValuingCreditDefaultSwapsI:No CounterpartyDefaultRisk JohnC.HullandAlanWhite JournalofDerivatives vol.8,no.1(Fall2000):29–40 Theauthorspresentamethodologyforvaluingcreditdefault swapswhosepayoffdependsontheperformanceofasingle credit.Tobuildintuition,theauthorsshowthatanidealized estimateoftheswapspreadisthediffer...
In its original complaint, Quadrant alleged that Athilon was insolvent, that its business model of writing credit default swaps had failed, and that the constitutive documents governing Athilon and Athilon Acceptance prohibited the entities from engaging in other lines of business. At the time ...
The terms "exchange-traded" and "exchange-listed", when used with respect to swaps and security-based swaps, shall include swaps and security-based swaps that are executed on swap execution facilities and security-based swap execution facilities and cleared through regulated, central clearing ...
Valuing Credit Default Swaps I: No Counterparty Default Risk - Hull, White - 2000Hull, J. C., and A. White (2000), "Valuing credit default swaps I: no counterparty default risk," Journal of Derivatives, 7(4):29-40. (2003), "The valuation of credit default swap options," Journal ...
Valuing credit default swaps I : no counterparty default risk. Hull J,White A. Journal of Derivatives, Fall . 2000Hull, John C and Alan White. 2000. "Valuing Credit Default Swaps I: No Counterparty Default Risk." Journal of Derivatives 8 (1):2940....
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 default risk. The paper tests the sensitivity of credit default swap valuations to assumptions about the expected recovery rate. It ...
Rosta, Joseph
Credit Default Swaps Are Once Again At The Center Of Financial CrisisDavid Zeiler
Janet Tavakoli