Upgrade : VaR and Expected Shortfall to Liquidation Based on Asian Put Option Formula and Tail Volatilities & Correlations

Asian VaR and coherent Asian Expected Shortfall are an improvement over current methods, measuring more accurately financial portfolio market and liquidity risks. Risk to LIQUIDATION</I> means every day a portion of portfolio assets-i (i = 1 to H_i) is unwound; thus the final unwind price is the sum of the product of unwound volume-i and day-i, for day-1, day-2,…, day-Hi prices. Includes formulas to calculate Asian VaR – AVaR – and Asian Put – APSF – based on (i) the Asian Black & Scholes European Put; (ii) 1st quintile of historical Markowitz covariance; and (iii) price-trend down or liquidity haircut. To solve AVaR and APSF requires calculating a weighted average horizon-Ĥ for the portfolio. Finally, the new formula is compared to the traditional risk measure, the Bullet VaR to LIQUIDATION – VaR_Historical