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

Francesca Biagini, Andrea Mazzon and Katharina Oberpriller

Stochastic Processes and their Applications, 2023, vol. 156, issue C, 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.

Keywords: Sublinear expectation; Nondominated model; Reduced-form framework; Multiple default times (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1016/j.spa.2022.11.003

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