Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
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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
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