A structure for general and specific market risk (Q1424643)
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scientific article; zbMATH DE number 2058968
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A structure for general and specific market risk |
scientific article; zbMATH DE number 2058968 |
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A structure for general and specific market risk (English)
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16 March 2004
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A benchmark approach to the market risk analysis is discussed. In this framework the usual growth ratios are normalized by the growth ratios of some broadly based index (such as S \& P or MSCI) and then log-returns of such benchmarked data are considered. A model with stochastic volatility is considered in which the benchmarked log-returns have a generalized hyperbolic density (a class of PDF which includes Student-t, and normal-inverse Gaussian PDFs). VaR analysis in this model is discussed. The model was applied to US, Australian, German, Japanese and UK stock markets.
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benchmark approach
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growth ratio
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stochastic volatility
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generalized hyperbolic density
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Value at Risk
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