BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (Q3622841): Difference between revisions
From MaRDI portal
Created a new Item |
Set OpenAlex properties. |
||
| (3 intermediate revisions by 3 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: Publication / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 0901.3398 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3121623715 / rank | |||
Normal rank | |||
| links / mardi / name | links / mardi / name | ||
Latest revision as of 09:14, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives |
scientific article |
Statements
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (English)
0 references
28 April 2009
0 references
BSLP model
0 references
bivariate spread-loss portfolio model
0 references
stochastic intensity BSLP model
0 references
option pricing
0 references
