Portfolio liquidity-adjusted value-at-risk
South African Journal of Economic and Management Sciences
| Field | Value | |
| Title | Portfolio liquidity-adjusted value-at-risk | |
| Creator | Botha, Marius | |
| Description | 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. | |
| Publisher | AOSIS Publishing | |
| Date | 2011-09-28 | |
| Identifier | 10.4102/sajems.v11i2.309 | |
| Source | South African Journal of Economic and Management Sciences; Vol 11, No 2 (2008); 203-216 2222-3436 1015-8812 | |
| Language | eng | |
| Relation |
The following web links (URLs) may trigger a file download or direct you to an alternative webpage to gain access to a publication file format of the published article:
https://sajems.org/index.php/sajems/article/view/309/120
|
|
ADVERTISEMENT
