LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS

DOI10.1142/S0219024917500017zbMath1396.91816OpenAlexW3123902765MaRDI QIDQ2970316

Lakshithe Wagalath

Publication date: 30 March 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024917500017

zbMATH Keywords

contagionliquidationfire salessystemic risk indicator

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (1)

A LIQUIDATION RISK ADJUSTMENT FOR VALUE AT RISK AND EXPECTED SHORTFALL

Cites Work

• The Wishart autoregressive process of multivariate stochastic volatility
• Multivariate COGARCH(1, 1) processes
• Discretization of processes.
• RESILIENCE TO CONTAGION IN FINANCIAL NETWORKS
• FIRE SALES FORENSICS: MEASURING ENDOGENOUS RISK
• A multifactor volatility Heston model
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Handbook on Systemic Risk
• Continuous Time Wishart Process for Stochastic Risk

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