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Value at Risk for Large Portfolios

Author

Listed:
  • Lönnbark, Carl

    () (Department of Economics, Umeå University)

  • Holmberg, Ulf

    () (Department of Economics, Umeå University)

  • Brännäs, Kurt

    () (Department of Economics, Umeå University)

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.

Suggested Citation

  • Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2009. "Value at Risk for Large Portfolios," Umeå Economic Studies 769, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0769
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    Keywords

    Demand; Supply; Liquidity Risk; Limit Order Book; Bank; Sweden;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • G00 - Financial Economics - - General - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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