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Search: subject:"Adjusted value‐at‐risk"
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Basel III
2
Liquid Assets
2
Liquidity Coverage Ratio
2
Liquidity-adjusted Value-at-Risk
2
Market Liquidity Risk
2
Market Microstructure
2
Market Risk
2
Basler Akkord
1
Economic Capital
1
Emerging Markets
1
Financial Engineering
1
Financial Markets
1
Financial Risk Management
1
Liquidation Cost
1
Liquidity Adjusted Value at Risk
1
Liquidity Risk
1
Liquidity adjusted Value at Risk (LVaR)
1
Marktliquidität
1
Non-parametric approach
1
Optimal trading strategy
1
Portfolio Management
1
Risikomaß
1
Sample paths
1
Stochastic programming
1
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4
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Book / Working Paper
3
Article
1
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Working Paper
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Undetermined
2
German
1
English
1
Author
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Cremers, Heinz
2
Panzer, Christof
2
Völker, Florian
2
Al Janabi, Mazin A. M.
1
Fragnière, Emmanuel
1
Gondzio, Jacek
1
Tuchschmid, Nils
1
Zhang, Qun
1
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Frankfurt School of Finance and Management
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
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Frankfurt School - Working Paper Series
2
Journal of Financial Transformation
1
MPRA Paper
1
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RePEc
3
EconStor
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1
Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Völker, Florian
;
Cremers, Heinz
;
Panzer, Christof
-
2012
(exogenous / endogenous). We then present and evaluate different liquidity-
adjusted
Value
at
Risk
models which capture one or …
Persistent link: https://www.econbiz.de/10010310853
Saved in:
2
Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk
Völker, Florian
;
Cremers, Heinz
;
Panzer, Christof
-
Frankfurt School of Finance and Management
-
2012
(exogenous / endogenous). We then present and evaluate different liquidity-
adjusted
Value
at
Risk
models which capture one or …
Persistent link: https://www.econbiz.de/10010985130
Saved in:
3
Non-parametric liquidity-adjusted VaR model: a stochastic programming approach
Fragnière, Emmanuel
;
Gondzio, Jacek
;
Tuchschmid, Nils
; …
- In:
Journal of Financial Transformation
28
(
2010
),
pp. 109-116
This paper proposes a Stochastic Programming (SP) approach for the calculation of the liquidity-
adjusted
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10008487635
Saved in:
4
Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios
Al Janabi, Mazin A. M.
-
Volkswirtschaftliche Fakultät, …
-
2009
of Liquidity-
Adjusted
Value-at-Risk
(L-VaR) framework, and particularly from the perspective of trading portfolios that …
Persistent link: https://www.econbiz.de/10008557078
Saved in:
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