Value at Risk and Expected Shortfall for Large Portfolios

Posted: 18 Oct 2009 Last revised: 19 Mar 2012

See all articles by Carl Lönnbark

Carl Lönnbark

Swedbank; Umeå University

Ulf E. Holmberg

Umeå University - Department of Economics

Kurt Brannas

Umeå University - Department of Economics

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

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

Carl Lönnbark (Contact Author)

Swedbank ( email )

SE-105 34 Stockholm
Sweden

Umeå University ( email )

Samhallsvetarhuset, Plan 2
Umea University
Umeå, SE 901 87
Sweden

Ulf E. Holmberg

Umeå University - Department of Economics ( email )

Umeå University
Umea, SE - 90187
Sweden

HOME PAGE: http://www.econ.umu.se/~ulf.holmberg/

Kurt Brannas

Umeå University - Department of Economics ( email )

Umea University
Department of Economics
SE-90187 Umea
Sweden
+46-90-786 6101 (Phone)
+46-90-772302 (Fax)

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