Liquidity-adjusted value-at-risk : a comprehensive extension with microstructural liquidity components
Doojin Ryu, Robert I. Webb and Jinyoung Yu
| Year of publication: |
2022
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|---|---|
| Authors: | Ryu, Doojin ; Webb, Robert I. ; Yu, Jinyoung |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 28.2022, 9, p. 871-888
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| Subject: | Implied spread | liquidity risk | market microstructure | options market | risk management | value-at-risk | Risikomanagement | Risk management | Marktmikrostruktur | Market microstructure | Risikomaß | Risk measure | Theorie | Theory | Bankenliquidität | Bank liquidity | Liquidität | Liquidity | Optionsgeschäft | Option trading | Geld-Brief-Spanne | Bid-ask spread | Bankrisiko | Bank risk | Marktliquidität | Market liquidity |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2021.1946414 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013373347