Why and how to integrate liquidity risk into a VaR-framework
Year of publication: |
2008
|
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Authors: | Stange, Sebastian ; Kaserer, Christoph |
Publisher: |
München : Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS) |
Subject: | Wertpapierhandel | Börsenkurs | Risikomaß | Marktrisiko | asset liquidity | price impact | weighted spread | Xetra Liquidity Measure (XLM) | Value-at-Risk | market liquidity risk |
Series: | Working Paper ; 2008-10 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 587947276 [GVK] hdl:10419/48441 [Handle] RePEc:zbw:cefswp:200810 [RePEc] |
Classification: | G11 - Portfolio Choice ; G12 - Asset Pricing ; G18 - Government Policy and Regulation ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
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