Risk management for whales
Rama Cont and Lakshithe Wagalath introduce a liquidation-adjusted VAR
The quantitative models commonly used in financial risk management have mainly focused on the statistical modelling of variations in the (mark-to-) market value of financial portfolios, in order to estimate a risk measure – such as value-at-risk or expected shortfall – related to market losses over a given time horizon. These risk measures are then used for determining, for example, capital requirements or margin requirements in order to provision for losses in extreme risk scenarios.
CLICK HERE
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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
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 [email protected]
Copyright Infopro Digital Limited. All rights reserved.
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 [email protected]
More on Liquidity risk
