Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5069758 | Finance Research Letters | 2011 | 10 Pages |
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
Authors
Carl Lönnbark, Ulf Holmberg, Kurt Brännäs,