BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (Q3622841)
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scientific article; zbMATH DE number 5548819
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives |
scientific article; zbMATH DE number 5548819 |
Statements
BSLP: Markovian bivariate spread-loss model for portfolio credit derivatives (English)
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28 April 2009
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BSLP model
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bivariate spread-loss portfolio model
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stochastic intensity BSLP model
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option pricing
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0.7788687348365784
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0.764018714427948
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0.7587125897407532
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0.7493062615394592
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0.740993320941925
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