Alan D. White

5^th Most Popular Author in DefaultRisk.com
 

University of Toronto -- Finance Group
Rotam 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.

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. [Abstract]

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
(394K PDF) -- 43 page -- November 2007

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
(333K PDF) -- 38 pages -- September 2004

Credit Derivatives

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

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

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
(208K PDF) –- 36 pages -- November 2006

Valuation of a CDO and an n^th 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

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.  [Abstract]

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.  [Abstract]

Hull, John and Alan White, "Pricing Interest-Rate-Derivative Securities", Review of Financial Studies, Vol. 3, No. 4, (Winter 1990), pp. 573-592.  [Abstract]

Books:

Hull-White on Derivatives by John Hull and Alan White, Risk Books, June 1, 1996, Paperback, 365 pages

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