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摘要翻译：
BSLP是一个相互作用的投资组合水平损失和利差（更确切地说，损失强度）过程的二维动态模型。该模型类似于Schonbucher(2005)和Sidenius-Peterbarg-Andersen(SPA)(2005)提出的自上而下的类HJM框架，但它是一个马尔可夫的短率强度模型。该模型的这一特性使得快速的格子方法能够为各种投资组合信用衍生品定价，如分阶段期权、前向启动分阶段、杠杆超高级分阶段等。非参数模型规范用于实现对流动性分阶段报价的近乎完美的校正。在随机强度的零波动率极限下得到的模型的非动态版本作为一种无套利的插值模型本身是有用的，可以将非标准指数与标准指数分开定价。
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英文标题：
《BSLP: Markovian Bivariate Spread-Loss Model for Portfolio Credit
Derivatives》
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作者：
Matthias Arnsdorf and Igor Halperin
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
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.
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PDF链接：
https://arxiv.org/pdf/0901.3398
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