Research Publications

Citation

BibTex format

@article{Cont:2016,
author = {Cont, R and Wagalath, L},
journal = {Risk -London- Risk Magazine Limited-},
title = {Risk management for whales},
url = {http://ssrn.com/abstract=2739227},
year = {2016}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We propose framework for modeling portfolio risk which integrates market risk with liquidation costs which may arise in stress scenarios. Our model provides a systematic method for computing liquidation-adjusted risk measures for a portfolio. Calculation of Liquidation-adjusted VaR (LVaR) for sample portfolios reveals a substantial impact of liquidation costs on portfolio risk for portfolios with large concentrated positions.
AU  - Cont,R
AU  - Wagalath,L
PY  - 2016///
SN  - 0952-8776
TI  - Risk management for whales
T2  - Risk -London- Risk Magazine Limited-
UR  - http://ssrn.com/abstract=2739227
UR  - http://www.risk.net/risk-magazine/technical-paper/2459496/risk-management-for-whales
UR  - http://hdl.handle.net/10044/1/33590
ER  -
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