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Article: A Markovian Network Model for Default Risk Management,
Title | A Markovian Network Model for Default Risk Management, |
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Authors | |
Keywords | Value-at-risk VaR Crisis expected shortfall Markov chain model Network of sectors |
Issue Date | 2010 |
Publisher | Inderscience Publishers. The Journal's web site is located at http://www.inderscience.com/IJIEI |
Citation | International Journal of Intelligent Engineering Informatics, 2010, v. 1 n. 1, p. 104-124 How to Cite? |
Abstract | In this paper, we study the problem of modelling the dependence of defaults in several sectors. We consider a network-based model for the default data sequences and model the sequences by a Markov chain model. The new model provides a flexible paradigm for portfolio credit risk assessment. We evaluate two important risk measures, namely, crisis value-at-risk (CRVaR) and crisis expected shortfall (CRES). Numerical experiments are given to illustrate the practical implementation of the model. We also perform empirical studies of the model using real default data and analyse the empirical behaviours of the risk measures arising from the model. |
Persistent Identifier | http://hdl.handle.net/10722/207590 |
ISSN | 2023 Impact Factor: 1.6 |
DC Field | Value | Language |
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dc.contributor.author | Ching, WK | - |
dc.contributor.author | Leung, HY | - |
dc.contributor.author | Jiang, H | - |
dc.contributor.author | Sun, L | - |
dc.contributor.author | Siu, TK | - |
dc.date.accessioned | 2015-01-09T07:43:13Z | - |
dc.date.available | 2015-01-09T07:43:13Z | - |
dc.date.issued | 2010 | - |
dc.identifier.citation | International Journal of Intelligent Engineering Informatics, 2010, v. 1 n. 1, p. 104-124 | - |
dc.identifier.issn | 1758-8715 | - |
dc.identifier.uri | http://hdl.handle.net/10722/207590 | - |
dc.description.abstract | In this paper, we study the problem of modelling the dependence of defaults in several sectors. We consider a network-based model for the default data sequences and model the sequences by a Markov chain model. The new model provides a flexible paradigm for portfolio credit risk assessment. We evaluate two important risk measures, namely, crisis value-at-risk (CRVaR) and crisis expected shortfall (CRES). Numerical experiments are given to illustrate the practical implementation of the model. We also perform empirical studies of the model using real default data and analyse the empirical behaviours of the risk measures arising from the model. | - |
dc.language | eng | - |
dc.publisher | Inderscience Publishers. The Journal's web site is located at http://www.inderscience.com/IJIEI | - |
dc.relation.ispartof | International Journal of Intelligent Engineering Informatics | - |
dc.rights | International Journal of Intelligent Engineering Informatics. Copyright © Inderscience Publishers. | - |
dc.subject | Value-at-risk | - |
dc.subject | VaR | - |
dc.subject | Crisis expected shortfall | - |
dc.subject | Markov chain model | - |
dc.subject | Network of sectors | - |
dc.title | A Markovian Network Model for Default Risk Management, | en_US |
dc.type | Article | en_US |
dc.identifier.email | Ching, WK: wching@hkucc.hku.hk | - |
dc.identifier.email | Leung, HY: obliging@hkusua.hku.hk | - |
dc.identifier.email | Jiang, H: jiang_hao_191@163.com | - |
dc.identifier.email | Siu, TK: tksiu@graduate.hku.hk | - |
dc.identifier.doi | 10.1504/IJIEI.2010.033532 | - |
dc.identifier.hkuros | 170379 | - |
dc.identifier.volume | 1 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 104 | - |
dc.identifier.epage | 124 | - |
dc.publisher.place | United Kingdom | - |
dc.identifier.issnl | 1758-8715 | - |