Financial regime-switching vector auto-regression

摘要: A regime switching vector autoregression (RS-VAR) is defined as a in which the parameters of are functions set discrete indices, consitute regimes. This process can be applied to interest rate models, default and other financial models. done “objective” or P-measure risk-neutral Q-measure finance measures. One applications include calculation prices, cashflows, capital, reserves, defaults, variables. Another includes transactions using these including purchases sales, producing and/or sending reports, advisory services, portfolio strategy, etc.