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This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The … discrete set of scenarios. We address the inner problem by first generalizing the risk-based haircuts calculation into a …
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LOT liquidity model, which is a kind of Tobit model with two unknown censoring points, is commonly used in the literature of microstructure of financial markets to estimate transaction costs and market liquidity from the observed return series. As far as the estimation is concerned, method based...
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. A decoupling between liquidity risk management and that of market and credit risks is assumed. Both linear and quadratic …, is given. This is shown to be already optimal under the risk neutral measure. Finally, heuristics that can help speed up …
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