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arxiv: 1212.4126 · v1 · pith:Q3U5C7WInew · submitted 2012-12-17 · 💱 q-fin.RM

Risk Measures in a Regime Switching Model Capturing Stylized Facts

classification 💱 q-fin.RM
keywords measuresmodelregimeriskswitchingaccuracyadditionalanalyze
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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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