BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives
| dc.creator | Arnsdorf, Matthias | |
| dc.creator | Halperin, Igor | |
| dc.date | 2009-01-22 | |
| dc.date.accessioned | 2026-07-07T12:32:54Z | |
| dc.date.available | 2026-07-07T12:32:54Z | |
| dc.description | BSLP is a two-dimensional dynamic model of interacting portfolio-level loss and spread (more exactly, loss intensity) processes. The model is similar to the top-down HJM-like frameworks developed by Schonbucher (2005) and Sidenius-Peterbarg-Andersen (SPA) (2005), however is constructed as a Markovian, short-rate intensity model. This property of the model enables fast lattice methods for pricing various portfolio credit derivatives such as tranche options, forward-starting tranches, leveraged super-senior tranches etc. A non-parametric model specification is used to achieve nearly perfect calibration to liquid tranche quotes across strikes and maturities. A non-dynamic version of the model obtained in the zero volatility limit of stochastic intensity is useful on its own as an arbitrage-free interpolation model to price non-standard index tranches off the standard ones. | |
| dc.description | 42 pages, 9 figures | |
| dc.identifier | https://arxiv.org/abs/0901.3398 | |
| dc.identifier | http://arxiv.org/abs/0901.3398 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/216945 | |
| dc.subject | Pricing of Securities | |
| dc.title | BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit Derivatives | |
| dc.type | text |