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- W2124544962 abstract "In this paper, we introduced the liquidity risk measures. The coherent risk measure introduced by Artzner[1] does not include the liquidity effects. That is the trading amount is so large that it will affect the market price. In this situation, the positive homogeneityaxiom will no longer hold. So we set up a new axioms system to deal with liquidity effects. We call it the liquidity risk measure. In addition, we found the acceptance sets and established the relationship between the liquidity risk measures and the acceptance sets. We also developed appropriate liquidity risk measures for multi-asset portfolios" @default.
- W2124544962 created "2016-06-24" @default.
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- W2124544962 date "2006-10-27" @default.
- W2124544962 modified "2023-10-04" @default.
- W2124544962 title "Liquidity Risk Measurement and Management" @default.
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- W2124544962 doi "https://doi.org/10.1002/9781118390399" @default.
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