Batlle, Maria Carmen Badia; Galisteo, Merche; … - Facultat d'Economia i Empresa, Universitat de Barcelona - 2005
An empirical application of Hull-White model (2000) to the Spanish market is presented. This model provides an expression to calculate the payment made by credit default swap (CDS) buyer when there is no counterparty default risk. Moreover, it is assumed that the yield par curve, the recovery...