Reduced-form framework for multiple ordered default times under model uncertainty

Biagini, Francesca ; Mazzon, Andrea und Oberpriller, Katharina (2023): Reduced-form framework for multiple ordered default times under model uncertainty. In: Stochastic Processes and their Applications, Vol. 156: pp. 1-43

Abstract

In this paper we introduce a sublinear conditional operator with respect to a family of possibly nondominated probability measures in presence of multiple ordered default times. In this way we generalize the results of Biagini and Zhang (2019), where a reduced-form framework under model uncertainty for a single default time is developed. Moreover, we use this operator for the valuation of credit portfolio derivatives under model uncertainty.

• Item Type: Journal article
• Faculties: Mathematics, Computer Science and Statistics > Mathematics > Workgroup Financial Mathematics
• Subjects: 500 Science > 510 Mathematics
• ISSN: 03044149
• Language: English