A Structure for General and Specific Market Risk

Eckhard Platen () and Gerhard Stahl

No 91, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

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 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.

Keywords: risk measurement; general market risk; specific market risk; value at risk; financial modeling; benchmark model; growth optimal portfolio (search for similar items in EconPapers)
Pages: 19 pages
Date: 2003-02-01
New Economics Papers: this item is included in nep-fmk
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Citations: View citations in EconPapers (11)

Published as: Platen, E. and Stahl, G., 2004, "A Structure for General and Specific Market Risk", Computational Statistics, 18(3), 355-373.

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Journal Article: A Structure for General and Specific Market Risk (2003)
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