Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/324241 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 710
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty on the default intensity but also discuss uncertainty on the recovery in a fractional recovery of the market value. This approach is a first step towards integrating uncertainty in credit risky term structure models and can profit from its simplicity. We derive drift conditions in a Heath-Jarrow-Morton forward rate setting in the case of ambiguous default intensity in combination with zero recovery, and in the case of ambiguous fractional recovery of the market value.
Schlagwörter: 
Model ambiguity
default time
credit risk
no-arbitrage
reduced-form HJM models
recovery process
Persistent Identifier der Erstveröffentlichung: 
Creative-Commons-Lizenz: 
cc-by Logo
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
433.94 kB





Publikationen in EconStor sind urheberrechtlich geschützt.