Risk Measures in a Regime Switching Model Capturing Stylized Facts

2012/12/17 by Rainer Haidinger, Haidinger, Rainer, Richard Warnung +1
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Risk Management (q-fin.RM) #Stochastic processes and financial applications #q-fin.RM

paper · pdf · doi:10.48550/arxiv.1212.4126

17 pages, 11 figures

arxiv created 2012/12/17 · openalex publication_date 2012/12/17 · arxiv updated 2012/12/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

We pick up the regime switching model for asset returns introduced by Rogers and Zhang. The calibration involves various markets including implied volatility in order to gain additional predictive power. We focus on the calculation of risk measures by Fourier methods that have successfully been applied to option pricing and analyze the accuracy of the results.

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