Liquidity-Adjusted Market Risk Measures with Stochastic Holding Period
نویسندگان
چکیده
منابع مشابه
Liquidity-adjusted Market Risk Measures with Stochastic Holding Period
Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a ‘liquidity-adjusted risk measure’ characterized by the absence of a fixed time horizon. The underlying assumption is that due to changes on market liquidity conditions one operates along an ‘operational time’ to which the P&L process of liquidating a...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1679698