Reduced-form framework for multiple ordered default times under model uncertainty
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.
Area: CS55 - New probabilistic approaches in mathematical finance (Lorenzo Torricelli)
Keywords: Model uncertainty, sublinear conditional operator, reduced-form framework
Il paper è coperto da copyright.