A structure for general and specific market risk

Computational Statistics

Volumn 18, Issue 3, 2003, Pages 355-373

  Platen, Eckhard ^a   Stahl, Gerhard ^b  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

^b Ger Financial Supervisory Authority   (Germany)

Author keywords

Benchmark model; General market risk; Growth optimal portfolio; Risk measurement; Specific market risk; Value at Risk

Indexed keywords

EID: 0041474561     PISSN: 09434062     EISSN: None     Source Type: Journal    
DOI: 10.1007/BF03354603     Document Type: Article

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