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Portfolio Liquidity-Adjusted Value-at-Risk
Company: South African Journal of Economics and Management Sciences
Company Url: Click here to open
Year Of Publication: 2008
Month Of Publication: January
Pages: 203-216
Download Count: 13
View Count: 1866
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 2-8-2011
Publisher: Administrator
Summary
An important, yet neglected, aspect of risk management is liquidity risk; changes in value due to reduced availability of traded financial instruments. This ubiquitous risk has emerged as one of the key drivers of the developing "credit crunch" with global financial liquidity plummeting since the crisis began. Despite massive cash injections by governments, the crisis continues. Contemporary research has focussed on the liquidity component of single instruments’ value-at-risk. This work is extended in this article to measure portfolio value-at-risk, employing a technique which integrates individual instruments’ liquidity-adjusted VaR into a portfolio environment without a commensurate increase of statistical assumptions.
(volume 11, number 2)
Author(s)
Botha, Marius Sign in to follow this author
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