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    Risks, Vol. 7, Pages 64: Default Ambiguity (2019)
    MDPI
    In: Risks
    Details
    Publication Date: 2019
    Description: 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.
    Electronic ISSN: 2227-9091
    Topics: Economics
    Published by MDPI
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