Lehman Brothers - Guide to Exotic Credit Derivatives

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Lehman Brothers - Guide to Exotic Credit Derivatives.

Contents
Foreword 1
Credit Derivatives Products
Market overview 3
The credit default swap 4
Basket default swaps 8
Synthetic CDOs 12
Credit options 23
Hybrid products 28
Credit Derivatives Modelling
Single credit modelling 31
Modelling default correlation 33
Valuation of correlation products 39
Estimating the dependency structure 43
Modelling credit options 47
Modelling hybrids 51
References 53

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