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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.
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https://hal.archives-ouvertes.fr/hal-01396602
Contributor : Serena Benassù <>
Submitted on : Monday, November 14, 2016 - 4:22:19 PM
Last modification on : Friday, March 27, 2020 - 4:02:40 AM

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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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