# 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 E. R. 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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