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. (c) 2022 Elsevier B.V. All rights reserved.
Dokumententyp: | Zeitschriftenartikel |
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Fakultät: | Mathematik, Informatik und Statistik > Informatik |
Themengebiete: | 000 Informatik, Informationswissenschaft, allgemeine Werke > 004 Informatik |
ISSN: | 0304-4149 |
Sprache: | Englisch |
Dokumenten ID: | 111095 |
Datum der Veröffentlichung auf Open Access LMU: | 02. Apr. 2024, 07:23 |
Letzte Änderungen: | 02. Apr. 2024, 07:23 |