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A Structure for General and Specific Market Risk
Year Of Publication: 2003
Month Of Publication: April
Pages: 19
Download Count: 22
View Count: 1465
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 11-2-2010
Publisher: Administrator
Summary
The 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 benchmark models that use a broadly based index as major building block for modeling. the investigation of log-returns 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 used to calculate Value-at-Risk for equity portfolios.
This document was published in Computational Statistics (volume 18, number 3) 2003, pp. 355-373.
Author(s)
Platen, Eckhard Sign in to follow this author
Stahl, Gerhard Sign in to follow this author
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