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Risk Measures in a Regime Switching Model Capturing Stylized Facts

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  • Rainer Haidinger
  • Richard Warnung

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.

Suggested Citation

  • Rainer Haidinger & Richard Warnung, 2012. "Risk Measures in a Regime Switching Model Capturing Stylized Facts," Papers 1212.4126, arXiv.org.
    • Handle: RePEc:arx:papers:1212.4126
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    File URL: http://arxiv.org/pdf/1212.4126
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