Mathematical Finance Seminar
May 3 2001 , 5:30 PM to 7:00 PM
John Hull, University of Toronto and Stern School of Business,
Alan White, University of Toronto
Valuing Credit Default Swaps
This presentation will explain the application of recent research by John Hull and Alan White concerned with the valuation of credit default swaps. It will show how, by starting with quoted CDS spreads for vanilla deals, an analyst can a) estimate the impact of counterparty default risk on vanilla spreads and b) estimate basket credit default swap spreads. Background papers are "Valuing Credit Default Swaps I" (Journal of Derivatives, Fall 2000) and "Valuing Credit Default Swaps II" (Journal of Derivatives, Spring 2001).