%0 Journal Article
%T Default Ambiguity
%J Risks | An Open Access Journal from MDPI
%D 2019
%R https://doi.org/10.3390/risks7020064
%X 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¨CJarrow¨CMorton 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. View Full-Tex
%U https://www.mdpi.com/2227-9091/7/2/64