Efficient portfolio valuation incorporating liquidity risk
نویسندگان
چکیده
منابع مشابه
Efficient Portfolio Valuation Incorporating Liquidity Risk
According to the theory proposed by Acerbi & Scandolo (2008), the value of a portfolio is defined in terms of public market data and idiosyncratic portfolio constraints imposed by an investor holding the portfolio. Depending on the constraints, one and the same portfolio could have different values for different investors. As it turns out, within the Acerbi-Scandolo theory, portfolio valuation ...
متن کاملAsset Liquidity, Debt Valuation, and Credit Risk
This paper presents a structural debt valuation model that links default probabilities and recovery rates of corporate securities to asset market liquidity. This linking is advantageous for risk management and regulation of financial institutions in that it provides a method of calibrating the relationship between probability of default (PD) and loss given default (LGD). Two innovations in the ...
متن کاملOption valuation with liquidity risk and jumps
5 ABSTRACT This article provides a simple model for pricing and hedging options in the presence of jumps and liquidity costs. In the article, liquidity risk is modelled via a stochastic supply curve function and a jump-diffusion process is approximated by a Markov chain. Local risk minimization incorporating liquidity risk is proposed to price and hedge European options in this discrete10 time ...
متن کاملLiquidity risk and bank portfolio allocation
The joint existence of a lender of last resort and of a stock market is usually considered the sign of a developed financial infrastructure. This paper analyzes whether a securities market may play a role similar to that of a lender of last resort by being of assistance to a bank, which faces possible liquidity shortages. We examine which of these two institutions best prevents a bank’s liquidi...
متن کاملValuation of Financial Derivatives Subject to Liquidity Risk
.................................................................................................................... iii ACKNOWLEDGEMENT ................................................................................................ iv TABLE OF CONTENTS .................................................................................................. v LIST OF FIGURES ............................
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2013
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2013.779013