Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324241 
Year of Publication: 
2019
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 710
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
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.
Subjects: 
Model ambiguity
default time
credit risk
no-arbitrage
reduced-form HJM models
recovery process
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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