Original title: Markovovy řetězce vyšších řádů a jejich aplikace v ekonometrii
Translated title: Higher - order Markov chains and applications in econometrics
Authors: Straňáková, Alena ; Prášková, Zuzana (advisor) ; Sladký, Karel (referee)
Document type: Master’s theses
Year: 2009
Language: cze
Abstract: In this paper, we generalize Raftery's model of Markov chain to a higher-order multivariate Markov chain model. This model is more suitable for practical applications because of smaller number of independent parameters. We propose a method of estimation of parameters of the model and apply it to the Credit risk measuring of a portfolio. We compute Value at Risk and Expected Shortfall in this portfolio. Theoretical results are applied to real data.

Institution: Charles University Faculties (theses) (web)
Document availability information: Available in the Charles University Digital Repository.
Original record: http://hdl.handle.net/20.500.11956/27659

Permalink: http://www.nusl.cz/ntk/nusl-495589


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Universities and colleges > Public universities > Charles University > Charles University Faculties (theses)
Academic theses (ETDs) > Master’s theses