Value at Risk and Expected Shortfall for large portfolios

We argue that the practise of valuing the portfolio is important for the calculation of the Value at Risk and the Expected Shortfall. In particular, the seller (buyer) of an asset does not face a horizontal demand (supply) curve. We propose a new approach for incorporating this fact into the risk measures and in an empirical illustration we compare it to a competing approach. We find substantial differences.

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Year of publication:	2011
Authors:	Lönnbark, Carl ; Holmberg, Ulf ; Brännäs, Kurt
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 8.2011, 2, p. 59-68
Publisher:	Elsevier
Keywords:	Demand Supply Liquidity risk Limit order book Bank Sweden

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195002