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Managing inverstment risks of institutional private equity investors - the challenge of illiquidity

Kaserer, Christoph; Wagner, Niklas; Achleitner, Ann-Kristin - In: Risk management : challenge and opportunity ; with 125 …, (pp. 259-277). 2005

Persistent link: https://www.econbiz.de/10002447753

Liquidity Risk?

Pontiff, Jeffrey - 2019

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …

Persistent link: https://www.econbiz.de/10012894394

Risk Sensitive Asset Management and Cascading Defaults

Birge, John R. - 2017

We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults. Default events have an impact on the distress state of the surviving stocks in the portfolio. We study the recursive system of non-Lipschitz quasi-linear parabolic HJB-PDEs...

Persistent link: https://www.econbiz.de/10012969492

Hedging Market Risk in Optimal Liquidation

Monin, Phillip - 2017

effects from insufficient market liquidity. A typical method to manage these price impact effects is to split a given order …

Persistent link: https://www.econbiz.de/10012972701

Managing Default Risk

Zabai, Anna - 2014

High sovereign debt in advanced economies has recently revived the debate about the role of coordination problems and self-fulfilling beliefs as drivers of sovereign default risk. I show how default risk can be decomposed in a solvency-risk component and a coordination-risk component. I then...

Persistent link: https://www.econbiz.de/10013045961

Quantitative methods in economics and finance

Kliestik, Tomas (ed.); Valaskova, Katarina (ed.); … - 2021

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Persistent link: https://www.econbiz.de/10012586709

Liquidity at Risk : Joint Stress Testing of Solvency and Liquidity

Cont, Rama - 2020

. Liquidity stress tests have been applied in parallel to and independently from solvency stress tests, based on scenarios which … testing of solvency and liquidity: our approach exploits the mechanisms underlying the solvency-liquidity nexus to derive … relations between solvency shocks and liquidity shocks. These relations are then used to model liquidity and solvency risk in a …

Persistent link: https://www.econbiz.de/10012828230

The impact of different default triggers on CMBS risk evaluation

Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91

Persistent link: https://www.econbiz.de/10011700690

A limit distribution of credit portfolio losses with low default probabilities

Shi, Xiaojun; Tang, Qihe; Yuan, Zhongyi - In: Insurance / Mathematics & economics 73 (2017), pp. 156-167

Persistent link: https://www.econbiz.de/10011702063

Liquidity risk

Li, Larry - In: Commercial banking risk management : regulation in the …, (pp. 103-119). 2017

Persistent link: https://www.econbiz.de/10011607020