Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121150166> ?p ?o ?g. }
Showing items 1 to 87 of
87
with 100 items per page.
- W3121150166 abstract "Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a `liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market liquidity conditions - one operates along an `operational time' to which the P&L process of liquidating a market portfolio is referred. This framework leads to a mixture of distributions for the portfolio returns, potentially allowing for skewness, heavy tails and extreme scenarios. We analyze the impact of possible distributional choices for the SHP. In a multivariate setting, we hint at the possible introduction of dependent SHP processes, which potentially lead to non linear dependence among the P&L processes and therefore to tail dependence across assets in the portfolio, although this may require drastic choices on the SHP distributions. We also find that increasing dependence as measured by Kendall's tau through common SHP's appears to be unfeasible. We finally discuss potential developments following future availability of market data." @default.
- W3121150166 created "2021-02-01" @default.
- W3121150166 creator A5005254246 @default.
- W3121150166 creator A5017682949 @default.
- W3121150166 date "2010-09-20" @default.
- W3121150166 modified "2023-09-27" @default.
- W3121150166 title "Liquidity-adjusted Market Risk Measures with Stochastic Holding Period" @default.
- W3121150166 cites W2008348321 @default.
- W3121150166 cites W2014407411 @default.
- W3121150166 cites W2059552362 @default.
- W3121150166 cites W2073273904 @default.
- W3121150166 cites W2505122384 @default.
- W3121150166 cites W3121398716 @default.
- W3121150166 cites W3125561128 @default.
- W3121150166 cites W2288968309 @default.
- W3121150166 hasPublicationYear "2010" @default.
- W3121150166 type Work @default.
- W3121150166 sameAs 3121150166 @default.
- W3121150166 citedByCount "0" @default.
- W3121150166 crossrefType "posted-content" @default.
- W3121150166 hasAuthorship W3121150166A5005254246 @default.
- W3121150166 hasAuthorship W3121150166A5017682949 @default.
- W3121150166 hasConcept C10138342 @default.
- W3121150166 hasConcept C105795698 @default.
- W3121150166 hasConcept C106159729 @default.
- W3121150166 hasConcept C122342681 @default.
- W3121150166 hasConcept C149782125 @default.
- W3121150166 hasConcept C151730666 @default.
- W3121150166 hasConcept C161584116 @default.
- W3121150166 hasConcept C162324750 @default.
- W3121150166 hasConcept C182306322 @default.
- W3121150166 hasConcept C183582576 @default.
- W3121150166 hasConcept C2777302077 @default.
- W3121150166 hasConcept C2779343474 @default.
- W3121150166 hasConcept C2780821815 @default.
- W3121150166 hasConcept C2781472820 @default.
- W3121150166 hasConcept C28761237 @default.
- W3121150166 hasConcept C33923547 @default.
- W3121150166 hasConcept C556758197 @default.
- W3121150166 hasConcept C73858035 @default.
- W3121150166 hasConcept C86803240 @default.
- W3121150166 hasConceptScore W3121150166C10138342 @default.
- W3121150166 hasConceptScore W3121150166C105795698 @default.
- W3121150166 hasConceptScore W3121150166C106159729 @default.
- W3121150166 hasConceptScore W3121150166C122342681 @default.
- W3121150166 hasConceptScore W3121150166C149782125 @default.
- W3121150166 hasConceptScore W3121150166C151730666 @default.
- W3121150166 hasConceptScore W3121150166C161584116 @default.
- W3121150166 hasConceptScore W3121150166C162324750 @default.
- W3121150166 hasConceptScore W3121150166C182306322 @default.
- W3121150166 hasConceptScore W3121150166C183582576 @default.
- W3121150166 hasConceptScore W3121150166C2777302077 @default.
- W3121150166 hasConceptScore W3121150166C2779343474 @default.
- W3121150166 hasConceptScore W3121150166C2780821815 @default.
- W3121150166 hasConceptScore W3121150166C2781472820 @default.
- W3121150166 hasConceptScore W3121150166C28761237 @default.
- W3121150166 hasConceptScore W3121150166C33923547 @default.
- W3121150166 hasConceptScore W3121150166C556758197 @default.
- W3121150166 hasConceptScore W3121150166C73858035 @default.
- W3121150166 hasConceptScore W3121150166C86803240 @default.
- W3121150166 hasLocation W31211501661 @default.
- W3121150166 hasOpenAccess W3121150166 @default.
- W3121150166 hasPrimaryLocation W31211501661 @default.
- W3121150166 hasRelatedWork W1482783848 @default.
- W3121150166 hasRelatedWork W181427474 @default.
- W3121150166 hasRelatedWork W1953130759 @default.
- W3121150166 hasRelatedWork W2009210982 @default.
- W3121150166 hasRelatedWork W2077283123 @default.
- W3121150166 hasRelatedWork W2139472163 @default.
- W3121150166 hasRelatedWork W2166417533 @default.
- W3121150166 hasRelatedWork W2168831578 @default.
- W3121150166 hasRelatedWork W2304113230 @default.
- W3121150166 hasRelatedWork W2426235200 @default.
- W3121150166 hasRelatedWork W2580032098 @default.
- W3121150166 hasRelatedWork W2742749586 @default.
- W3121150166 hasRelatedWork W2761870743 @default.
- W3121150166 hasRelatedWork W2804019346 @default.
- W3121150166 hasRelatedWork W2807630026 @default.
- W3121150166 hasRelatedWork W2883933605 @default.
- W3121150166 hasRelatedWork W3123962474 @default.
- W3121150166 hasRelatedWork W3125537487 @default.
- W3121150166 hasRelatedWork W3141157817 @default.
- W3121150166 hasRelatedWork W2184820660 @default.
- W3121150166 isParatext "false" @default.
- W3121150166 isRetracted "false" @default.
- W3121150166 magId "3121150166" @default.
- W3121150166 workType "article" @default.