John Hull, Maple Financial Group Professor of Derivatives and
Risk Management, Joseph L. Rotman School of Management
The Credit Derivatives Market
This presentation will explain different credit derivatives products
and discuss the approaches that can be used to value them. It will also
outline the problems in developing indices of credit default swap spreads
and how they can be resolved.
Alan White, Professor of Finance, Joseph L. Rotman School of
Can Credit Default Swap Spreads Be Used to Predict Downgrades?
This presentation will consider whether credit default swap spreads
can be used to predict credit downgrades. The results presented are
based on data collected by a leading credit default swap broker over
the last four years.