JOURNAL ARTICLE
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Messung des besonderen Kursrisikos durch Varianzzerlegung
Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 4 : pp. 567–591
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Stefan Huschens, Dresden
References
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Abstract
Measuring the Specific Price Risk by Variance Decomposition
To determine the equity required for covering the general and the specific price risks of shares, the supervisory regulations would, after modification, allow both risk components to be measured on the basis of internal risk models. This contribution discusses the extent to which specific risks can be covered by the so-called unsystematic risk. On the basis of variance components, the author proposes alternative approaches to the analytical determination of a value-at-risk amount for covering the specific and the general price risk each.