A liquidation risk adjustment for value at risk and expected shortfall
Lakshithe Wagalath and Jorge P. Zubelli
| Year of publication: |
May 2018
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|---|---|
| Authors: | Wagalath, Lakshithe ; Zubelli, Jorge P. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 3, p. 1-21
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| Subject: | Liquidation risk | fire sales | value at risk | expected shortfall | risk management | price impact | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Finanzdienstleistung | Financial services |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500103 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011889543