Article ID Journal Published Year Pages File Type
5069758 Finance Research Letters 2011 10 Pages PDF
Abstract

We argue that the practise of valuing the portfolio is important for the calculation of the Value at Risk and the Expected Shortfall. In particular, the seller (buyer) of an asset does not face a horizontal demand (supply) curve. We propose a new approach for incorporating this fact into the risk measures and in an empirical illustration we compare it to a competing approach. We find substantial differences.

Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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