A liquidation risk adjustment for value at risk and expected shortfall (Q4565070)
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scientific article; zbMATH DE number 6882227
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| English | A liquidation risk adjustment for value at risk and expected shortfall |
scientific article; zbMATH DE number 6882227 |
Statements
A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL (English)
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7 June 2018
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liquidation risk
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fire sales
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value at risk
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expected shortfall
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risk management
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price impact
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0.7787209749221802
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0.7772510647773743
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0.7542307376861572
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0.7514030337333679
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