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Beta- measure of systematic risk for an investor who holds the shares of one company, it is total variance that is more relevant. But for most usual active investor who wishes to diversify into different securities, the important risk measure is the market risk. William sharpie's market model helps in measuring the systematic risk in terms of a simple statistical regression relationship of beta which is an index of sensitivity of return of an individual security to that of the market returns securities those are about as volatile as the market will have beta coefficients around 1.0 and those of less volatile will have lower coefficients when beta represents predicted response of an individual security's returns to the change in market returns, for any given the variation in the market return, risk of each asset can be determined. The variation is independent of the course of the economy , which remains uncorrelated with the market is its unsystematic or the specific risl. Theirs specific risk has caused the decline in share prices of union carbide in 1984 due to Bhopal disaster and market risk caused all the stocks to decline in 1991 due to Bhopal disaster and market risk caused all the stocks to decline in 1992 due to multi crore security scam.
How can I calculate 10-day 99% VaR for portfolio comprising two banks by using the Historical Simulation Approach ?
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