Liquidity-Adjusted Value-at-Risk for Portfolios of Assets

Doctoral thesis English OPEN
Cheung, Jay; Dong, Lei;

Over the past decade, Value-at-Risk (VaR) has become the most prevalent technique for measuring maximum portfolio losses over a specific time horizon at a given probability. However, traditional VaR models do not account for liquidity so that they underestimate the magn... View more
Share - Bookmark