Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach

@article{Calvia2020RiskMA,
  title={Risk Measures and Progressive Enlargement of Filtration: A BSDE Approach},
  author={A. Calvia and Emanuela Rosazza Gianin},
  journal={SIAM J. Financial Math.},
  year={2020},
  volume={11},
  pages={815-848}
}
We consider dynamic risk measures induced by Backward Stochastic Differential Equations (BSDEs) in enlargement of filtration setting. On a fixed probability space, we are given a standard Brownian motion and a pair of random variables $(\tau, \zeta) \in (0,+\infty) \times E$, with $E \subset \mathbb{R}^m$, that enlarge the reference filtration, i.e., the one generated by the Brownian motion. These random variables can be interpreted financially as a default time and an associated mark. After… Expand
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