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.Comment: 36 page
Abstract. The two main approaches in credit risk are the structural approach pioneered in Merton (19...
In this paper, we propose a reduced-form credit risk model with a hidden state process. The hidden s...
We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an inte...
In this paper, we introduce a sublinear conditional expectation with respect to a family of possibly...
We study multiple defaults where the global market information is modelled as progressive enlargemen...
Delayed, hence non-simultaneous, dependent defaults are discussed in a reduced form model. The model...
International audienceWe apply the default density framework developed in El Karoui et al. \cite{ejj...
The classical reduced-form and filtration expansion framework in credit risk is extended to the case...
In this paper, we give a financial justification, based on no-arbitrage conditions, of the (H)-hypot...
In this paper, we derive a representation for the value process associated to the solutions of FBSDE...
AbstractWe present a general model for default times, making precise the role of the intensity proce...
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumpti...
Factor models for portfolio credit risk assume that defaults are independent conditional on a small ...
This article presents a model of default dependency based on Levy subordinator. It is a tractable dy...
International audienceMotivated by credit risk modelling, we consider a type of default times whose ...
Abstract. The two main approaches in credit risk are the structural approach pioneered in Merton (19...
In this paper, we propose a reduced-form credit risk model with a hidden state process. The hidden s...
We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an inte...
In this paper, we introduce a sublinear conditional expectation with respect to a family of possibly...
We study multiple defaults where the global market information is modelled as progressive enlargemen...
Delayed, hence non-simultaneous, dependent defaults are discussed in a reduced form model. The model...
International audienceWe apply the default density framework developed in El Karoui et al. \cite{ejj...
The classical reduced-form and filtration expansion framework in credit risk is extended to the case...
In this paper, we give a financial justification, based on no-arbitrage conditions, of the (H)-hypot...
In this paper, we derive a representation for the value process associated to the solutions of FBSDE...
AbstractWe present a general model for default times, making precise the role of the intensity proce...
We consider the problem of modelling the term structure of defaultable bonds, under minimal assumpti...
Factor models for portfolio credit risk assume that defaults are independent conditional on a small ...
This article presents a model of default dependency based on Levy subordinator. It is a tractable dy...
International audienceMotivated by credit risk modelling, we consider a type of default times whose ...
Abstract. The two main approaches in credit risk are the structural approach pioneered in Merton (19...
In this paper, we propose a reduced-form credit risk model with a hidden state process. The hidden s...
We introduce the concept of no-arbitrage in a credit risk market under ambiguity considering an inte...