Risk management for whales

Article OPEN
Cont, Rama; Wagalath, Lakshithe;
(2016)
  • Publisher: Risk Magazine Limited
  • Subject: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | risk management | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] | liquidity

International audience; We propose framework for modeling portfolio risk which integrates market risk with liquidation costs which may arise in stress scenarios. Our model provides a systematic method for computing liquidation-adjusted risk measures for a portfolio. Cal... View more
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