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

DOI10.1016/j.spa.2022.11.003zbMath1502.60081arXiv2108.04047OpenAlexW4308780872MaRDI QIDQ2680389

Andrea Mazzon, Francesca Biagini, Katharina Oberpriller

Publication date: 2 January 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.04047

zbMATH Keywords

sublinear expectationnondominated modelmultiple default timesreduced-form framework

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Credit risk (91G40) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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