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Risk Measure under Markov Regime Swiching Model

Author: NiuShuGuang
Tutor: HeSiHui
School: East China Normal University
Course: Actuarial Science
Keywords: Markov-switching model smoothed coherent risk measure exchange rate regime
CLC: F840
Type: Master's thesis
Year: 2010
Downloads: 33
Quote: 0
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Abstract


Firstly, this paper discusses the Markov-switching model in different states and orders, then focus on discussing its maximum likelihood function.Secondly, the paper introduces the axioms of Coherent Risk Measure, and proposes(and test) one Coherent Risk Measure under Markov-switching model.Finally, We do empirical analysis on the exchange rate(dollar/RMB) and the interest rate difference(China and the US.) using a first-order two-state Markov-switching model,On the basis of which, we give the risk exposure (Tail Conditional Expectations) using the risk measure we proposed before. The results of empirical analysis shows that currently there is still greater risk of RMB (dollar) appreciation.

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CLC: > Economic > Fiscal, monetary > Insurance > Insurance Theory
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