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