Risk management for whales
File(s)SSRN-id2739227.pdf (269.43 KB)
Accepted version
Author(s)
Cont, R
Wagalath, L
Type
Journal Article
Abstract
We propose framework for modeling portfolio risk which integrates market risk with liquidation costs which may arise in stress scenarios. Our model provides a systematic method for computing liquidation-adjusted risk measures for a portfolio. Calculation of Liquidation-adjusted VaR (LVaR) for sample portfolios reveals a substantial impact of liquidation costs on portfolio risk for portfolios with large concentrated positions.
Date Issued
2016-06-01
Date Acceptance
2016-05-01
Citation
Risk -London- Risk Magazine Limited-, 2016, (June)
ISSN
0952-8776
Publisher
Risk Magazine Limited
Journal / Book Title
Risk -London- Risk Magazine Limited-
Issue
June
Copyright Statement
© 2016 The Authors
Sponsor
Capital Fund Management
Identifier
http://ssrn.com/abstract=2739227
Grant Number
CFM-IIQF
Subjects
liquidity
risk management
Publication Status
Published