Risk management for whales

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Title: Risk management for whales
Authors: Cont, R
Wagalath, L
Item 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.
Issue Date: 1-Jun-2016
Date of Acceptance: 1-May-2016
URI: http://hdl.handle.net/10044/1/33590
ISSN: 0952-8776
Publisher: Risk Magazine Limited
Journal / Book Title: Risk -London- Risk Magazine Limited-
Issue: June
Copyright Statement: © 2016 The Authors
Sponsor/Funder: Capital Fund Management
Funder's Grant Number: CFM-IIQF
Keywords: liquidity
risk management
Publication Status: Published
Appears in Collections:Financial Mathematics
Faculty of Natural Sciences



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