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Article: A Markovian Network Model for Default Risk Management,

TitleA Markovian Network Model for Default Risk Management,
Authors
Ching, WKLeung, HYJiang, HSun, LSiu, TK
KeywordsValue-at-risk
VaR
Crisis expected shortfall
Markov chain model
Network of sectors
Issue Date2010
PublisherInderscience 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?
DOI: http://dx.doi.org/10.1504/IJIEI.2010.033532
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/207590
ISSN
1758-8715

 

DC FieldValueLanguage
dc.contributor.authorChing, WK-
dc.contributor.authorLeung, HY-
dc.contributor.authorJiang, H-
dc.contributor.authorSun, L-
dc.contributor.authorSiu, TK-
dc.date.accessioned2015-01-09T07:43:13Z-
dc.date.available2015-01-09T07:43:13Z-
dc.date.issued2010-
dc.identifier.citationInternational Journal of Intelligent Engineering Informatics, 2010, v. 1 n. 1, p. 104-124-
dc.identifier.issn1758-8715-
dc.identifier.urihttp://hdl.handle.net/10722/207590-
dc.description.abstractIn 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.languageeng-
dc.publisherInderscience Publishers. The Journal's web site is located at http://www.inderscience.com/IJIEI-
dc.relation.ispartofInternational Journal of Intelligent Engineering Informatics-
dc.rightsInternational Journal of Intelligent Engineering Informatics. Copyright © Inderscience Publishers.-
dc.subjectValue-at-risk-
dc.subjectVaR-
dc.subjectCrisis expected shortfall-
dc.subjectMarkov chain model-
dc.subjectNetwork of sectors-
dc.titleA Markovian Network Model for Default Risk Management,en_US
dc.typeArticleen_US
dc.identifier.emailChing, WK: wching@hkucc.hku.hk-
dc.identifier.emailLeung, HY: obliging@hkusua.hku.hk-
dc.identifier.emailJiang, H: jiang_hao_191@163.com-
dc.identifier.emailSiu, TK: tksiu@graduate.hku.hk-
dc.identifier.doi10.1504/IJIEI.2010.033532-
dc.identifier.hkuros170379-
dc.identifier.volume1-
dc.identifier.issue1-
dc.identifier.spage104-
dc.identifier.epage124-
dc.publisher.placeUnited Kingdom-
dc.identifier.issnl1758-8715-

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