Liquidity-adjusted risk measures

DOI10.1007/S11579-012-0092-3zbMath1275.91145OpenAlexW2144455032MaRDI QIDQ1938958

Yanyan Li

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0092-3

zbMATH Keywords

risk measuresliquiditycapital requirementseligible assetsupply-demand curves

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Related Items (8)

Similar risks have similar prices: a useful and exact quantification ⋮ Scalar Multivariate Risk Measures with a Single Eligible Asset ⋮ SET-VALUED SHORTFALL AND DIVERGENCE RISK MEASURES ⋮ Measures of Systemic Risk ⋮ Risk measuring under liquidity risk ⋮ A supermartingale relation for multivariate risk measures ⋮ A Comparison of Techniques for Dynamic Multivariate Risk Measures ⋮ Surplus-Invariant, Law-Invariant, and Conic Acceptance Sets Must Be the Sets Induced by Value at Risk

Cites Work

• Liquidity risk and arbitrage pricing theory
• No arbitrage conditions and liquidity
• Stochastic Finance
• Risk Measures and Efficient use of Capital
• Some mathematical aspects of market impact modeling
• Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
• MODELING LIQUIDITY EFFECTS IN DISCRETE TIME
• OPTIMAL NUMERAIRES FOR RISK MEASURES
• Hedging of Claims with Physical Delivery under Convex Transaction Costs
• Liquidity risk theory and coherent measures of risk
• Equivalent Subgradient Versions of Hamiltonian and Euler–Lagrange Equations in Variational Analysis
• DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY

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