Tuesday, March 19, 2013

THE LEHMAN BROTHERS GUIDE TO EXOTIC CREDIT DERIVATIVES

Just a personal bookmark, the guide is from 2003, currently hosted on investinginbonds.com's server:

...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