Reduced-form framework for multiple ordered default times under model uncertainty
Mathematical Finance
2022-10-17 v3
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 [5], 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.
Cite
@article{arxiv.2108.04047,
title = {Reduced-form framework for multiple ordered default times under model uncertainty},
author = {Francesca Biagini and Andrea Mazzon and Katharina Oberpriller},
journal= {arXiv preprint arXiv:2108.04047},
year = {2022}
}
Comments
36 pages