Risky liquidations

It is all too easy to go for the simplest solution when liquidating an energy portfolio of different positions. Brett Humphreys discusses some of the problems with appropriately calculating the VAR associated with liquidating a portfolio

liquidationgraph-gif
Joe Risk Manager faces a dilemma. The board of directors at the company he currently works for has just asked whether a value-at-risk (VAR) number that has been reported represents the value that could be lost if trading operations were shut down. Joe’s response is that it does not, as the reported value at risk is based on a one-day time horizon. As at least some of the positions the company holds are at illiquid pricing points, realistically it would take more than one day to

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here