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 -