کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
472256 698698 2009 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A high-order Markov-switching model for risk measurement
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
A high-order Markov-switching model for risk measurement
چکیده انگلیسی

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.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computers & Mathematics with Applications - Volume 58, Issue 1, July 2009, Pages 1–10
نویسندگان
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