Default ambiguity

7Citations
Citations of this article
11Readers
Mendeley users who have this article in their library.

Abstract

This paper discusses ambiguity in the context of single-name credit risk. We focus on uncertainty in the default intensity but also discuss uncertainty in 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.

Cite

CITATION STYLE

APA

Fadina, T., & Schmidt, T. (2019). Default ambiguity. Risks, 7(2). https://doi.org/10.3390/risks7020064

Register to see more suggestions

Mendeley helps you to discover research relevant for your work.

Already have an account?

Save time finding and organizing research with Mendeley

Sign up for free