[下载]Lehman Brothers: Guide to Exotic Credit Derivatives

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2007-12-11 15:10:00 上传

[下载]Lehman Brothers: Guide to Exotic Credit Derivatives
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作者: Dominic O'Kane and etc.

资源类别：报告

资源格式: PDF 60 pages 1.24MB 英

目录:

Foreword 1

1

Credit Derivatives Products

Market overview 3

3

The credit default swap 4

4

Basket default swaps 8

8

Synthetic CDOs 12

12

Credit options 23

23

Hybrid products 28

28

Credit Derivatives Modelling

Single credit modelling 31

31

Modelling default correlation 33

33

Valuation of correlation products 39

39

Estimating the dependency structure 43

43

Modelling credit options 47

47

Modelling hybrids 51

51

References 53

53

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