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Value at Risk for Large Portfolios

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Author Info
Lönnbark, Carl () (Department of Economics, Umeå University)
Holmberg, Ulf () (Department of Economics, Umeå University)
Brännäs, Kurt () (Department of Economics, Umeå University)

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Abstract

We argue that the practise of valuing the portfolio is important for the calculation of the V aR. In particular, the seller (buyer) of an asset does not face horizontal demand (supply) curves. We propose a partially new approach for incorporating this fact in the V aR and in an empirical illustration we compare it to a competing approach. We find substantial differences.

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File URL: http://www.econ.umu.se/ues/ues769.pdf
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Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 769.

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Length: 11 pages
Date of creation: 01 Apr 2009
Date of revision:
Handle: RePEc:hhs:umnees:0769

Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
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Web page: http://www.econ.umu.se/
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For technical questions regarding this item, or to correct its listing, contact: (Kjell-Göran Holmberg).

Related research
Keywords: Demand; Supply; Liquidity Risk; Limit Order Book; Bank; Sweden;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
D40 - Microeconomics - - Market Structure and Pricing - - - General
G00 - Financial Economics - - General - - - General
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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This page was last updated on 2009-11-27.

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