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Modeling Liquidity Risk: With Implications for Traditional Market Risk Measurement and Management
Market risk management under normal conditions traditionally has focused on the distribution of portfolio value changes resulting from moves in the mid-price. Hence the market risk is really in a "pure" form: risk in an idealized market with no "friction" in obtaining the fair price. However, many markets possess an additional liquidity component that arises from a trader not realizing the mid-price when liquidating her position, but rather...
18 p itc 08/01/2013 330 1
Từ khóa: market risk management, market securities, simple liquidity risk methodology, modeling liquidity risk, traditional market risk measurement, quản lý rủi ro thị trường chứng khoán
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