This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The … discrete set of scenarios. We address the inner problem by first generalizing the risk-based haircuts calculation into a …

as decreasing absolute risk aversion (DARA) stochastic dominance (DSD). For comparison with DSD we also consider …

Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using …. We find that the model can be tuned easily using Value-at-Risk (VaR) related benchmarks. In the multi-stage setting, we … formally prove that the optimal solution consists of a sequence of myopic (single-stage) decisions with risk …

. A decoupling between liquidity risk management and that of market and credit risks is assumed. Both linear and quadratic …A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is …