Can I read Reduced-form Framework for Multiple Ordered Default Times Under Model Uncertainty on EtoBox?

Reduced-form Framework for Multiple Ordered Default Times Under Model Uncertainty by Biagini, Francesca; Mazzon, Andrea; Oberpriller, Katharina is a scholarly article available to read on EtoBox.

What is Reduced-form Framework for Multiple Ordered Default Times Under Model Uncertainty about?

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.

Author

Biagini, Francesca; Mazzon, Andrea; Oberpriller, Katharina

Published

2021

Language

EN