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Risk Management with Thinly Traded Securities: Methodology and Implementation
Company: International Development Bank
Company Url: Click here to open
Year Of Publication: 2013
Month Of Publication: October
Resource Link: Click here to open
Pages: 53
Download Count: 0
View Count: 1302
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 11-2-2013
Publisher: Administrator
Summary
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement our approach in a fixed income portfolio within a thin trading environment. However, a similar approach may be also applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios with infrequent trading.
This document may be downloaded from RePEc.org without charge by clicking the "Buy from Publisher" button. (accessed 2013-11-02)
This document is published in Estudios de Economia (volume 41, number 1) June 2014
http://dx.doi.org/10.4067/S0718-52862014000100001
Author(s)
Cortazar, Gonzalo Sign in to follow this author
Beuermann, Diether Sign in to follow this author
Bernales, Alejandro Sign in to follow this author
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