Zheng, Harry; Shen, Yukun - In: The Journal of Risk Finance 9 (2008) 5, pp. 477-492
Purpose – The aim is to study jump liquidity risk and its impact on risk measures: value at risk (VaR) and conditional VaR (CVaR). Design/methodology/approach – The liquidity discount factor is modelled with mean revision jump diffusion processes and the liquidity risk is integrated in the...