A liquidation risk adjustment for value at risk and expected shortfall
Year of publication: |
May 2018
|
---|---|
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
|
Subject: | Liquidation risk | fire sales | value at risk | expected shortfall | risk management | price impact | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Theorie | Theory | Bankrisiko | Bank risk | Kapitaleinkommen | Capital income | Bankenliquidität | Bank liquidity |
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 |
-
Malandrakis, Ioannis K., (2014)
-
Jaworski, Piotr, (2017)
-
Measuring corpotate liquidity risk
Jankensgård, Håkan, (2010)
- More ...
-
A Liquidation Risk Adjustment for Value at Risk and Expected Shortfall
Wagalath, Lakshithe, (2018)
-
The interplay between COVID-19 and the economy in Canada
Albani, Vinícius, (2022)
-
MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES
FOUQUE, JEAN-PIERRE, (2014)
- More ...