Umeå Economic Studies, Department of Economics, Umeå University
Value at Risk for Large Portfolios
(), Ulf Holmberg
() and Kurt Brännäs
Abstract: We argue that the practise of valuing the portfolio is
important for the calculation of the V aR. In particular, the seller
(buyer) of an asset does not face horizontal demand (supply) curves. We
propose a partially new approach for incorporating this fact in the V aR
and in an empirical illustration we compare it to a competing approach. We
find substantial differences.
Keywords: Demand; Supply; Liquidity Risk; Limit Order Book; Bank; Sweden; (follow links to similar papers)
JEL-Codes: C22; C51; C53; D40; G00; G10; (follow links to similar papers)
11 pages, April 1, 2009
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