Liquidity, Risk Measures, and Concentration of Measure
نویسندگان
چکیده
منابع مشابه
Liquidity Risk and Risk Measure Computation
This paper shows how to apply the recent liquidity risk model of Çetin, Jarrow and Protter [3] to compute a simple and robust adjustment to standard risk measures (e.g. value-at-risk, coherent, or convex) for liquidity risk.
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2018
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2017.0885