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Risk management and financial institutions

Hull, John - 2007

Persistent link: https://www.econbiz.de/10003314650

The relationship between credit default swap spreads, bond yields, and credit rating announcements

Hull, John; Predescu, Mirela; White, Alan - In: Journal of banking & finance 28 (2004) 11, pp. 2789-2811

Persistent link: https://www.econbiz.de/10002362016

Chapter 20. Credit Derivatives

Hull, John; White, Alan - 2013

This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...

Persistent link: https://www.econbiz.de/10014025358

The risk of tranches created from mortgages

Hull, John; White, Alan - In: Financial analysts' journal : FAJ 66 (2010) 5, pp. 54-67

Persistent link: https://www.econbiz.de/10008668609

An improved implied copula model and its application to the valuation of bespoke CDO tranches

Hull, John; White, Alan - In: Journal of investment management : JOIM 8 (2010) 3, pp. 11-31

Persistent link: https://www.econbiz.de/10008654919

CVA and wrong-way risk

Hull, John; White, Alan - In: Financial analysts' journal : FAJ 68 (2012) 5, pp. 58-69

Persistent link: https://www.econbiz.de/10009680574

Collateral and credit issues in derivatives pricing

Hull, John; White, Alan - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 3-28

Persistent link: https://www.econbiz.de/10010426470

Risk management and financial institutions

Hull, John - 2012 - 3. ed.

Persistent link: https://www.econbiz.de/10009546928

Risk management and financial institutions

Hull, John - 2010 - 2. ed., internat. ed.

Persistent link: https://www.econbiz.de/10003863064

Dynamic models of portfolio credit risk : a simplified approach

Hull, John; White, Alan - In: The journal of derivatives : the official publication … 15 (2008) 4, pp. 9-28

Persistent link: https://www.econbiz.de/10003733219