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Conference Paper: A Markovian model for default risk in a network of sectors

TitleA Markovian model for default risk in a network of sectors
Authors
Ching, WKLeung, HYJiang, HSun, L
Issue Date2009
Citation
2009 International Conference On Business Intelligence And Financial Engineering, Bife 2009, 2009, p. 373-377 How to Cite?
DOI: http://dx.doi.org/10.1109/BIFE.2009.92
AbstractIn 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.
DescriptionThe 2nd IEEE International Conference on Business Intelligence and Financial Engineering (BIFE 2009), Beijing, 24-26, July 2009
Persistent Identifierhttp://hdl.handle.net/10722/100341
ISI Accession Number ID
WOS:000280991400085
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorChing, WKen_HK
dc.contributor.authorLeung, HYen_HK
dc.contributor.authorJiang, Hen_HK
dc.contributor.authorSun, Len_HK
dc.date.accessioned2010-09-25T19:06:11Z-
dc.date.available2010-09-25T19:06:11Z-
dc.date.issued2009en_HK
dc.identifier.citation2009 International Conference On Business Intelligence And Financial Engineering, Bife 2009, 2009, p. 373-377en_HK
dc.identifier.urihttp://hdl.handle.net/10722/100341-
dc.descriptionThe 2nd IEEE International Conference on Business Intelligence and Financial Engineering (BIFE 2009), Beijing, 24-26, July 2009-
dc.description.abstractIn 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.languageengen_HK
dc.relation.ispartof2009 International Conference on Business Intelligence and Financial Engineering, BIFE 2009en_HK
dc.titleA Markovian model for default risk in a network of sectorsen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailChing, WK:wching@hku.hken_HK
dc.identifier.authorityChing, WK=rp00679en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1109/BIFE.2009.92en_HK
dc.identifier.scopuseid_2-s2.0-71049155020en_HK
dc.identifier.hkuros160418en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-71049155020&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.spage373en_HK
dc.identifier.epage377en_HK
dc.identifier.isiWOS:000280991400085-
dc.identifier.scopusauthoridChing, WK=13310265500en_HK
dc.identifier.scopusauthoridLeung, HY=24780941800en_HK
dc.identifier.scopusauthoridJiang, H=55017654000en_HK
dc.identifier.scopusauthoridSun, L=7403958336en_HK

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