Liquidity risk theory and coherent measures of risk

DOI10.1080/14697680802373975zbMath1154.91493OpenAlexW2739363181MaRDI QIDQ3605228

C. Acerbi, Giacomo Scandolo

Publication date: 23 February 2009

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680802373975

zbMATH Keywords

coherent risk measuresliquidity riskportfolio value

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (14)

Spectral risk measure of holding stocks in the long run ⋮ Dynamic Conic Finance via Backward Stochastic Difference Equations ⋮ Life insurance surrender and liquidity risks ⋮ Acceptability indexes via \(g\)-expectations: an application to liquidity risk ⋮ Coherent risk measures in general economic models and price bubbles ⋮ On the Impossibility of Fair Risk Allocation ⋮ Liquidity-adjusted risk measures ⋮ Risk measuring under liquidity risk ⋮ A formalization of double auction market dynamics ⋮ Price mediated contagion through capital ratio requirements with VWAP liquidation prices ⋮ Properties and comparison of risk capital allocation methods ⋮ Liquidity, Risk Measures, and Concentration of Measure ⋮ Star-shaped deviations ⋮ Efficient portfolio valuation incorporating liquidity risk

Cites Work

• Convex measures of risk and trading constraints
• Liquidity risk and arbitrage pricing theory
• Coherent Measures of Risk

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