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

Biagini, Francesca; Mazzon, Andrea und Oberpriller, Katharina (2022): Reduced-form framework for multiple ordered default times under model uncertainty. In: Stochastic Processes and Their Applications, Bd. 156: S. 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. (c) 2022 Elsevier B.V. All rights reserved.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Informatik
• Themengebiete: 000 Informatik, Informationswissenschaft, allgemeine Werke > 004 Informatik
• ISSN: 0304-4149
• Sprache: Englisch