Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation

Journal of Derivatives

Volumn 12, Issue 2, 2004, Pages 8-23

  Hull, John ^a   White, Alan ^a  

^a UNIVERSITY OF TORONTO   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 84967442421     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2004.450964     Document Type: Article

References (12)

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3. Andersen, L., J. Sidenius, and S. Basu. "All Your Hedges in One Basket." Risk, November 2003.
4. Cantor, R., D. T. Hamilton, and S. Ou. "Default and Recovery Rates of Corporate Bond Issuers." Moody's Investors Services, February 2002.
5. Duffie, D., and K. Singleton. "Modeling Term Structures of Defaultable Bonds." The Review of Financial Studies, 12(1999), pp. 687-720.
6. Hull, J. "Dealing with Dependence in Risk Simulations." Operational Research Quarterly, 28, 1(1977), pp. 201-218.
7. Hull, J., and A. White. "Valuing Credit Default Swap Options." The Journal of Derivatives, 10, 3 (Spring 2003) pp. 40-50.
8. -. "Valuing Credit Default Swaps: No Counterparty Default Risk." The Journal of Derivatives, Vol. 8, No. 1(Fall 2000), pp. 29-40.
9. -. "Value at Risk when Daily Changes Are Not Normally Distributed." The Journal of Derivatives, Vol. 6, No. 1(Fall 1998), pp. 5-19.
10. Laurent, J.-P., and J. Gregory. "Basket Default Swaps, CDOs and Factor Copulas." Working paper, ISFA Actuarial School, University of Lyon, 2003.
11. Li, D. X. "On Default Correlation: A Copula Approach." The Journal of Fixed Income, 9(March 2000), pp. 43-54.
12. Merton, R. C. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, 29(1974), pp. 449-470.