Value at Risk for Large Portfolios

We argue that the practise of valuing the portfolio is important for the calculation of the V aR. 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 V aR and in an empirical illustration we compare it to a competing approach. We find substantial differences.

MoreLess

Year of publication:	2009-04-01
Authors:	Lönnbark, Carl ; Holmberg, Ulf ; Brännäs, Kurt
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	Demand \| Supply \| Liquidity Risk \| Limit Order Book \| Bank \| Sweden

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Umeå Economic Studies Number 769 11 pages
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:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005424007