A structure for general and specific market risk

Platen, E; Stahl, G

A structure for general and specific market risk

Platen, E

Stahl, G

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Publication Type:: Journal Article
Citation:: Computational Statistics, 2003, 18 (3), pp. 355 - 373
Issue Date:: 2003-01-01

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Field	Value	Language
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.contributor.author	Stahl, G	en_US
dc.date.issued	2003-01-01	en_US
dc.identifier.citation	Computational Statistics, 2003, 18 (3), pp. 355 - 373	en_US
dc.identifier.issn	0943-4062	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3390
dc.description.abstract	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.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0343913
dc.relation.ispartof	Computational Statistics	en_US
dc.relation.isbasedon	10.1007/BF03354603	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	A structure for general and specific market risk	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	18	en_US
utslib.for	010205 Financial Mathematics	en_US
utslib.for	01 Mathematical Sciences	en_US
utslib.for	08 Information and Computing Sciences	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	18	en_US

Abstract:

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.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/3390