Carl Lönnbark (), Ulf Holmberg () and Kurt Brännäs ()
Additional contact information
Carl Lönnbark: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Ulf Holmberg: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
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
JEL-codes: C22; C51; C53; D40; G00; G10
11 pages, April 1, 2009
Full text files
DownloadAsset.action...Id=3&assetKey=ues769
Questions (including download problems) about the papers in this series should be directed to David Skog ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2024-02-05 17:13:51.