Alan D. White 7th Most Popular Author in DefaultRisk.com
2nd Most Popular Author in DefaultRisk.com
University of Toronto -- Finance Group
Rotman School of Management
105 St. George Street
Toronto, Ontario
M5S 3E6
Canada - Toronto University, Ph.D. (Finance) (1983)
- Associate Editor, of the Journal of Financial and Quantitative Analysis, and the Journal of Derivatives.
- Teaches courses in corporate finance, financial management, business finance, derivative securities, options, futures, money markets and foreign exchange management. Research includes valuation of and hedging of derivative securities by investment banks; market risk exposure of investment banks; credit risk exposure of investment banks; and global risk management for investment banks.
| Contact: | | Email address secured by Enkoder. | | Phone | +1 (416) 978-3689 | | Fax | +1 (416) 971-3048 | | e-mail |
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Publications: that are posted on DefaultRisk.com Credit Pricing Bond Prices, Default Probabilities and Risk Premiums
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
(136K PDF) -- 11 pages -- September 2004 Hull, John and Alan White, " The Impact of Default Risk on the Prices of Options and Other Derivative Securities", Journal of Banking & Finance, Vol. 19, No. 2, (May 1995), pp. 299-322. Credit Modeling Dynamic Models of Portfolio Credit Risk: A simplified approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(348K PDF) -- 53 page -- April 2008 Merton's Model, Credit Risk, and Volatility Skews
by John Hull of the University of Toronto,
Izzy Nelken of Super Computer Consulting Incorporated, and
Alan White of the University of Toronto
(180K PDF) -- 26 pages -- Winter 2004/05 Credit Derivatives Valuing Derivatives: Funding Value Adjustments and Fair Value
by John Hull of University of Toronto, and
Alan White of University of Toronto
(293K PDF) -- 25 pages -- September 16. 2013 CVA and Wrong Way Risk
by John Hull of University of Toronto, and
Alan White of University of Toronto
(468K PDF) -- 25 pages -- July 6, 2012 The Relationship Between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
by John Hull of the University of Toronto,
Mirela Predescu of the University of Toronto, and
Alan White of the University of Toronto
(243K PDF) -- 38 pages -- January 2004 The Valuation of Credit Default Swap Options
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(209K PDF) -- 28 pages -- January 2003 Valuing Credit Default Swaps I: No Counterparty Default Risk
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(368K PDF) -- 35 pages -- April 2000 Collateralized Debt Obligations The Risk of Tranches Created from Residential Mortgages
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(254K PDF) -- 34 page -- March 2010 The Valuation of Correlation-Dependent Credit Derivatives Using a Structural Model
by John Hull of the University of Toronto,
Mirela Predescu of the Oxford University, and
Alan White of the University of Toronto
(195K PDF) -- 36 pages -- October 2009 An Improved Implied Copula Model and its Application to the Valuation of Bespoke CDO Tranches
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(1,458K PDF) -- 35 pages -- June 2009 Forwards and European Options on CDO Tranches
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(67K PDF) -- 17 pages -- March 2007 Valuing Credit Derivatives Using an Implied Copula Approach
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(431K PDF) -- 41 pages -- November 2006 Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(287K PDF) -- 40 pages -- September 2004 Credit Correlation Valuing Credit Default Swaps II: Modeling Default Correlations
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(308K PDF) -- 26 pages -- April 2000 Other Credit Papers Collateral and Credit Issues in Derivatives Pricing
by John Hull of University of Toronto, and
Alan White of University of Toronto
(444K PDF) -- 25 pages -- January 2013 LIBOR vs OIS: The Derivatives Discounting Dilemma
by John Hull of University of Toronto, and
Alan White of University of Toronto
(385K PDF) -- 27 pages -- January 2013 Ratings Arbitrage and Structured Products
by John Hull of the University of Toronto, and
Alan White of the University of Toronto
(1K PDF) -- 1 pages -- Fall 2012 The FVA Debate Continued
by John Hull of University of Toronto, and
Alan White of University of Toronto
(88K PDF) -- 3 pages -- September 2012 Is FVA a Cost for Derivatives Desks?
by John Hull of University of Toronto, and
Alan White of University of Toronto
(570K PDF) -- 57 pages -- June 27, 2012 Related Papers Hull, John and Alan White, " Numerical procedures for implementing term structure models II: Two-Factor Models", Journal of Derivatives, Vol. 2, No. 2, (Winter 1994), pp. 37-49. Hull, John and Alan White, " Numerical procedures for implementing term structure models I: Single-Factor Models", Journal of Derivatives, Vol. 2, No. 1, (Fall 1993), pp. 7-16. Hull, John and Alan White, " Pricing Interest-Rate-Derivative Securities", Review of Financial Studies, Vol. 3, No. 4, (Winter 1990), pp. 573-592. Books:[Home] [Credit Researchers] [Top Ten Most Prolific]
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