This thesis is to value a credit default swap when the payoff is contingent on default by a single reference entity and there is no counterparty default risk. The credit default swap to be priced is a real CDS contract between financial institutes, matured on February 1, 2007. The reference asset is a dollar-denominated bond issued by Korea Electric Power Corporation, matured on February 1, 2027. The coupon rate is 7% p.a., paid semi-annually. Among various models for valuing a credit default swap, this thesis is using the Hull & White model (2000). Also, as a reference, this thesis values the credit default swap, using the simple JP Morgan’s model. While the real premium of the credit default swap was 1.60%, the premium calculated on the basis of Hull & White model is 2.18%, and JP Morgan model 2.25%, which are kind of higher. Considering that a credit spread between risky bond and risk-free Treasury with same maturity was around 3%, premiums of Hull & White model and JP Morgan model seem to be more appropriate.
