A liquidation risk adjustment for value at risk and expected shortfall

DOI10.1142/S0219024918500103zbMATH Open1398.91357MaRDI QIDQ4565070FDOQ4565070

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)

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zbMATH Keywords

expected shortfallvalue at riskprice impactrisk managementliquidation riskfire sales

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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

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

Uses Software

• QRM

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