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

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  • Biagini, Francesca
  • Mazzon, Andrea
  • Oberpriller, Katharina

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.

Suggested Citation

  • Biagini, Francesca & Mazzon, Andrea & Oberpriller, Katharina, 2023. "Reduced-form framework for multiple ordered default times under model uncertainty," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 1-43.
    • Handle: RePEc:eee:spapps:v:156:y:2023:i:c:p:1-43
    DOI: 10.1016/j.spa.2022.11.003
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    References listed on IDEAS

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