A high-order Markov-switching model for risk measurement

被引：14
|
作者：
Siu, T. K. [2 ]
Ching, W. K. [1 ]
Fung, E. [3 ]
Ng, M. [3 ]
Li, X. [4 ]
机构：
[1] Univ Hong Kong, Dept Math, Adv Modeling & Appl Comp Lab, Hong Kong, Hong Kong, Peoples R China
[2] Curtin Univ Technol, Dept Math & Stat, Perth, WA 6845, Australia
[3] Hong Kong Baptist Univ, Dept Math, Kowloon Tong, Hong Kong, Peoples R China
[4] Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China
来源：
COMPUTERS & MATHEMATICS WITH APPLICATIONS | 2009年 / 58卷 / 01期
关键词：
Value-at-Risk; Higher-order Markov chain process; Portfolio; Regime-switching; Risk management; Weak Markov chain process;
D O I：
10.1016/j.camwa.2008.10.099
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper,we introduce a High-order Markov-Switching(HMS) model for measuring the risk of a portfolio. We suppose that the rate of return from a risky portfolio follows an HMS model with the drift and the volatility modulated by a discrete-time weak Markov chain. The states of the weak Markov chain are interpreted as observable states of an economy. We adopt the Value-at-Risk (VaR) as a metric for market risk quantification and examine the high-order effect of the underlying Markov chain on the risk measures via backtesting. (C) 2009 Elsevier Ltd. All rights reserved.
引用
收藏
页码：1 / 10
页数：10
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