A liquidation risk adjustment for value at risk and expected shortfall

DOI10.1142/S0219024918500103MaRDI QIDQ4565070zbMATH OpenFDO

Authors Lakshithe Wagalath, J. P. Zubelli

Publication date 7 June 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

expected shortfallvalue at riskprice impactrisk managementliquidation riskfire sales

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Liquidity-adjusted risk measures
• Risk measuring under liquidity risk
• Optimal execution strategy of liquidation
• scientific article; zbMATH DE number 5584697
• General intensity shapes in optimal liquidation

Cites work

• Contagion! Systemic risk in financial networks
• Fire sales forensics: measuring endogenous risk
• Institutional investors and the dependence structure of asset returns
• Lost in contagion? Building a liquidation index from covariance dynamics
• Market Microstructure Invariance: Empirical Hypotheses
• More statistical properties of order books and price impact
• Quantitative risk management. Concepts, techniques and tools
• Risk-based capital requirements and optimal liquidation in a stress scenario
• Running for the exit: distressed selling and endogenous correlation in financial markets

Cited in

(4)

• Tabulations for value at risk and expected shortfall
• Lost in contagion? Building a liquidation index from covariance dynamics
• Liquidity-adjusted risk measures
• Risk measuring under liquidity risk

Describes a project that uses

Uses Software

• QRM

This page was built for publication: A liquidation risk adjustment for value at risk and expected shortfall

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4565070)