A Structure for General and Specific Market Risk
AbstractThe paper presents a consistent approach to the modeling of general and specific market risk as defined in regulatory documents. It compares the statistically based beta-factor model with a class of benckmark models that use a broadly based index as major building block for modeling. The investigation of log-return of stock prices that are expressed in units of the market index reveals that these are likely to be Student t distributed. A corresponding discrete time benchmark model is then used to calculate Value-at-Risk for equity portfolios.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 91.
Date of creation: 01 Feb 2003
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risk measurement; general market risk; specific market risk; value at risk; financial modeling; benchmark model; growth optimal portfolio;
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