BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives
نویسندگان
چکیده
منابع مشابه
BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and loss intensity processes. It is constructed as a Markovian, short-rate intensity model, which facilitates fast lattice methods for pricing various portfolio credit derivatives such as tranche options, forward-starting tranches, leveraged super-senior tranches etc. A semiparametric model specification is used to achi...
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Portfolio credit derivatives are contracts that are tied to an underlying portfolio of defaultable reference assets and have payoffs that depend on the default times of these assets. The hedging of credit derivatives involves the calculation of the sensitivity of the contract value with respect to changes in the credit spreads of the underlying assets, or, more generally, with respect to parame...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 2008
ISSN: 1460-1559
DOI: 10.21314/jcf.2008.179