Value at Risk and Expected Shortfall for Large Portfolios
Posted: 18 Oct 2009 Last revised: 19 Mar 2012
Date Written: March 30, 2009
Abstract
We argue that the practise of valuing the portfolio is important for the calculation of the VaR. 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 VaR 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 Classification: C22, C51, C53, D40, G00, G10
Suggested Citation: Suggested Citation
Lönnbark, Carl and Lönnbark, Carl and Holmberg, Ulf E. and Brannas, Kurt, Value at Risk and Expected Shortfall for Large Portfolios (March 30, 2009). Finance Research Letters, Vol. 8, 2011, Available at SSRN: https://ssrn.com/abstract=1490284
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