Computation of market risk measures with stochastic liquidity horizon

DOI10.1016/J.CAM.2018.03.038zbMath1395.91494OpenAlexW2558652874WikidataQ129917988 ScholiaQ129917988MaRDI QIDQ1639562

Luis Ortiz-Gracia, Gemma Colldeforns-Papiol

Publication date: 13 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2072/446110

zbMATH Keywords

value-at-riskmarket riskexpected shortfallliquidity riskShannon waveletsstochastic liquidity horizon

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Characteristic functions; other transforms (60E10) Numerical methods for wavelets (65T60)

Related Items (2)

Expected shortfall computation with multiple control variates ⋮ A rational approximation of the sinc function based on sampling and the Fourier transforms

Uses Software

• QRM
• Sinc-Pack

Cites Work

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• Ten Lectures on Wavelets
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous

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