Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 769: Value at Risk for Large Portfolios

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

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