INCORPORATING RISK AND AMBIGUITY AVERSION INTO A HYBRID MODEL OF DEFAULT
From MaRDI portal
Publication:4906540
DOI10.1111/j.1467-9965.2010.00457.xzbMath1278.91176MaRDI QIDQ4906540
Sebastian Jaimungal, Georg Sigloch
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00457.x
robust optimization; risk aversion; ambiguity aversion; indifference valuation; hybrid default model
91G40: Credit risk
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