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System and Method for Determining a Liquidity-Adjusted Value-at-Risk
Company: US Patent & Trademark Office
Company Url: Click here to open
Year Of Publication: 2012
Month Of Publication: July
Pages: 14
Download Count: 6
View Count: 1252
Comment Num: 0
Language: English
Source: patent
Who Can Read: Free
Date: 8-5-2012
Publisher: Administrator
Summary
Computer-based systems and methods for calculating a liquidity-adjusted VaR for a portfolio. The liquidity-adjusted VaR accounts for the different liquidities of the risks. The process for calculating the liquidity-adjusted VaR may include adding to the standard 1-day VaR only the losses produced by illiquid risks that are orthogonal to the space of liquid risks.
(patent # 8234201)
Author(s)
Canabarro, Eduardo Sign in to follow this author
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