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 VaR. In particular, the seller (buyer) of an asset does not face horizontal demand (supply) curves. We propose a partially new approach for incorporating this fact in the VaR and in an empirical illustration we compare it to a competing approach. We find substantial differences

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Year of publication:	2012
Authors:	Lönnbark, Carl
Other Persons:	Holmberg, Ulf E. (contributor) ; Brannas, Kurt (contributor)
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Risikomaß \| Risk measure \| Theorie \| Theory \| Portfolio-Management \| Portfolio selection \| Statistische Verteilung \| Statistical distribution \| Risikomanagement \| Risk management
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters, Vol. 8, 2011 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 30, 2009 erstellt Volltext nicht verfügbar
Classification:	C22 - Time-Series Models ; C51 - Model Construction and Estimation ; C53 - Forecasting and Other Model Applications ; D40 - Market Structure and Pricing. General ; G00 - Financial Economics. General ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013116709