A Markovian Model for Default Risk in a Network of Sectors

摘要：

In this paper, we study the problem of modeling the dependence of defaults in different sectors. We consider multiple default data sequences as a network and model them by using a Markov chain model. The new network model allows us to compute two important risk measures, namely, Value-at-Risk (VaR) and Expected Shortfall (ES). Numerical experiments are given to illustrate the practical implementation of the model. We also perform empirical studies of the model using real default data sequences and analyze the empirical behaviors of the risk measures arising from the model.

作者: Wai-Ki Ching Ho-Yin Leung Hao Jiang Liang Sun

作者单位: Advanced Modeling and Applied Computing Laboratory Department of Mathematics The University of Hong Advanced Modeling and Applied Computing Laboratory Department of Mathematics The University of Hong

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 373-377

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）