模型不确定性下多重有序违约时间的约化框架
Reduced-form framework for multiple ordered default times under model uncertainty
摘要：
本文在多个有序违约时间下引入了关于一族可能非支配概率测度的次线性条件算子。这样，我们推广了[5]的结果，其中，在模型不确定性下的单一默认时间的简化形式的框架被开发。此外，我们使用该算子的模型不确定性下的信用组合衍生品的估值。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
