Showing 1 - 1 of 1
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...
Persistent link: https://www.econbiz.de/10014901484