Risk management for whales

Abstract : We propose framework for modeling portfolio risk which integrates market risk with liquidation costs which may arise in stress scenarios. Our model provides a systematic method for computing liquidation-adjusted risk measures for a portfolio. Calculation of Liquidation-adjusted VaR (LVaR) for sample portfolios reveals a substantial impact of liquidation costs on portfolio risk for portfolios with large concentrated positions.
Type de document :
Article dans une revue
Risk, 2016, pp.73-80
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https://hal.archives-ouvertes.fr/hal-01396602
Contributeur : Serena Benassù <>
Soumis le : lundi 14 novembre 2016 - 16:22:19
Dernière modification le : lundi 29 mai 2017 - 14:25:07

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  • HAL Id : hal-01396602, version 1

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Rama Cont, Lakshithe Wagalath. Risk management for whales. Risk, 2016, pp.73-80. <hal-01396602>

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