Liquidity stress-testing using optimal portfolio liquidation

Mike Weber, Bastien Baldacci and Iuliia Manziuk
25 Mar 2022

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

CLICK HERE TO DOWNLOAD THE PDF

Mike Weber, Bastien Baldacci and Iuliia Manziuk present an optimal portfolio liquidation model based on the locally linear order book framework with an application to liquidity stress-testing on OTC markets, which aims to minimise the trading costs via the choice of liquidation time

The European Securities and Markets Authority (Esma) has set out guidance on liquidity stress-testing supplementary to the existing requirements enshrined in the Alternative

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact info@risk.net to find out more.

You are currently unable to copy this content. Please contact info@risk.net to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net