File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1109/BIFE.2009.92
- Scopus: eid_2-s2.0-71049155020
- WOS: WOS:000280991400085
Supplementary
- Citations:
- Appears in Collections:
Conference Paper: A Markovian model for default risk in a network of sectors
Title | A Markovian model for default risk in a network of sectors |
---|---|
Authors | |
Issue Date | 2009 |
Citation | 2009 International Conference On Business Intelligence And Financial Engineering, Bife 2009, 2009, p. 373-377 How to Cite? |
Abstract | 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. © 2009 IEEE. |
Description | The 2nd IEEE International Conference on Business Intelligence and Financial Engineering (BIFE 2009), Beijing, 24-26, July 2009 |
Persistent Identifier | http://hdl.handle.net/10722/100341 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Ching, WK | en_HK |
dc.contributor.author | Leung, HY | en_HK |
dc.contributor.author | Jiang, H | en_HK |
dc.contributor.author | Sun, L | en_HK |
dc.date.accessioned | 2010-09-25T19:06:11Z | - |
dc.date.available | 2010-09-25T19:06:11Z | - |
dc.date.issued | 2009 | en_HK |
dc.identifier.citation | 2009 International Conference On Business Intelligence And Financial Engineering, Bife 2009, 2009, p. 373-377 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/100341 | - |
dc.description | The 2nd IEEE International Conference on Business Intelligence and Financial Engineering (BIFE 2009), Beijing, 24-26, July 2009 | - |
dc.description.abstract | 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. © 2009 IEEE. | en_HK |
dc.language | eng | en_HK |
dc.relation.ispartof | 2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009 | en_HK |
dc.title | A Markovian model for default risk in a network of sectors | en_HK |
dc.type | Conference_Paper | en_HK |
dc.identifier.email | Ching, WK:wching@hku.hk | en_HK |
dc.identifier.authority | Ching, WK=rp00679 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.1109/BIFE.2009.92 | en_HK |
dc.identifier.scopus | eid_2-s2.0-71049155020 | en_HK |
dc.identifier.hkuros | 160418 | en_HK |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-71049155020&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.spage | 373 | en_HK |
dc.identifier.epage | 377 | en_HK |
dc.identifier.isi | WOS:000280991400085 | - |
dc.identifier.scopusauthorid | Ching, WK=13310265500 | en_HK |
dc.identifier.scopusauthorid | Leung, HY=24780941800 | en_HK |
dc.identifier.scopusauthorid | Jiang, H=55017654000 | en_HK |
dc.identifier.scopusauthorid | Sun, L=7403958336 | en_HK |