Value at Risk and Expected Shortfall for large portfolios
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.
References listed on IDEAS
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- Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005.
"Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange,"
Cahiers de recherche
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" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
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- GIOT, Pierre & GRAMMIG, Joachim, 2002.
"How large is liquidity risk in an automated auction market ?,"
CORE Discussion Papers
2002054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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