Beta- measure of systematic risk, Risk Management

Assignment Help:

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.


Related Discussions:- Beta- measure of systematic risk

Report of the audit committee , Determine any qualitative factors or inform...

Determine any qualitative factors or information in the annual reports and accounts for Home Retail Group plc for 2011, containing the report if the audit committee, that you as th

Internal control systems need to be continuously monitored, QUESTION (a...

QUESTION (a) Internal control systems need to be continuously monitored. This is a process that assesses the quality of the performance of a system over time and is accomplishe

Hedgeable risks, what are the characteristics of hedgeable risks

what are the characteristics of hedgeable risks

Determine about the liquidity risk, Determine about the Liquidity Risk ...

Determine about the Liquidity Risk Liquidity risk is the risk associated with specific secondary market in which a security trades. An investment which can be bought or sold

GRACH, (i) Calculate the unweighted average daily variance for the time ser...

(i) Calculate the unweighted average daily variance for the time series. Explain any assumptions or simplifications you have made, and the working for each step.

Market liquidity risk literature review, I would need a literature review o...

I would need a literature review of the market liquidity risk. 1)Basic definitions 2)Literature review - in the context of market microstructure -Importance of market liquidity ris

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd