• Title/Summary/Keyword: continuously-compounded return

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An One-factor VaR Model for Stock Portfolio (One-factor 모형을 이용한 주식 포트폴리오 VaR에 관한 연구)

  • Park, Keunhui;Ko, Kwangyee;Beak, Jangsun
    • The Korean Journal of Applied Statistics
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    • v.26 no.3
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    • pp.471-481
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    • 2013
  • The current VaR Model based on J. P. Morgan's RiskMetrics has problem that actual loss exceeds VaR under unstable economic conditions because the current VaR Model can't re ect future economic conditions. In general, any corporation's stock price is determined by the rm's idiosyncratic factor as well as the common systematic factor that in uences all stocks in the portfolio. In this study, we propose an One-factor VaR Model for stock portfolio which is decomposed into the common systematic factor and the rm's idiosyncratic factor. We expect that the actual loss will not exceed VaR when the One-factor Model is implemented because the common systematic factor considering the future economic conditions is estimated. Also, we can allocate the stock portfolio to minimize the loss.