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- Publisher
- Springer Journals
- Copyright
- Copyright © 2003 by Physica-Verlag
- Subject
- Statistics; Statistics, general; Probability and Statistics in Computer Science; Probability Theory and Stochastic Processes; Economic Theory
- ISSN
- 0943-4062
- eISSN
- 1613-9658
- DOI
- 10.1007/BF03354603
- Publisher site
- See Article on Publisher Site
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.
Journal
Computational Statistics – Springer Journals
Published: Feb 26, 2015