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Table Of Contents

1. INTRODUCTION
2. THE MARKET
3. CREDIT RISK FRAMEWORK
4.1Floating-Rate Notes
4.2Asset Swaps
4.3Default Swaps
4.4Credit-Linked Notes
4.5Repackaging Vehicles
4.6Principal Protected Structures
4.7Credit Spread Options
4.8Bond Options
4.9Total Return Swaps
5 MULTI-NAME CREDIT DERIVATIVES
5.1Index Swaps
5.2Basket Default Swaps
5.3Understanding Portfolio Trades
5.4Portfolio Default Swaps
5.5Collateralized Debt Obligations
5.6Arbitrage CDOs
5.7Cash Flow CLOs
5.8Synthetic CLOs
6. LEGAL, REGULATORY, AND ACCOUNTING ISSUES
6.1Legal Documentation
6.2Bank Regulatory Capital Treatment
6.3Accounting for Derivatives
7 GLOSSARY OF TERMS
8 APPENDIX
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Lehman Credit Primer

Lehman Credit Primer

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Published by Paul Choi

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Published by: Paul Choi on Dec 12, 2011
Copyright:Attribution Non-commercial

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12/12/2011

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