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About: News Archive
IAFE Senior Fellow John Hull Presents New Research on CDS Spreads and Volatility |
| 19-Mar-2003 |
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On March 18, over 130 guests attended a talk by John Hull, IAFE Senior Fellow and the Maple Financial Professor of Derivatives and Risk Management at the Joseph L. Rotman School of Management, University of Toronto.
Dr. Hull´s excellent presentation was based on two recently completed research projects, both co-authored by John Hull. The first was an empirical study of the relationship between credit default swap spreads and ratings announcements. The second was a theoretical and empirical study concerned with the relationship between equity volatility skews and credit quality under Merton´s model. The research concludes that both CDS spreads and volatility skews are useful indicators of a company´s credit quality.
The talk was held at Goldman Sachs in New York City and was generously sponsored by SunGard Trading & Risk Systems and the Risk Waters Group.
Please click here to view the slides from John Hull´s presentation at the IAFE Monthly Meeting.
Please click here to view John Hull´s web site, which provides links to his publications.
To download the papers upon which this presentation was based,
please see below.
Merton´s Model, Credit Risk and Volatility Skews
by John Hull, Izzy Nelken and Alan White
February 25, 2003
The Relationship Between Credit Default Swap Spreads, Bond Yields and Credit Ratings Announcements
John Hull, Mirela Predescu and Alan White
March 2003 |
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