n South African Journal of Economic and Management Sciences - Portfolio liquidity-adjusted value-at-risk : economics
|Article Title||Portfolio liquidity-adjusted value-at-risk : economics|
|© Publisher:||University of Pretoria|
|Journal||South African Journal of Economic and Management Sciences|
|Publication Date||Jun 2008|
|Pages||203 - 216|
|Keyword(s)||C1, C13, C2, C22 and C5|
ISI Social Science
An important, yet neglected, aspect of risk management is liquidity risk; changes in value due to reduced availability of traded financial instruments. This ubiquitous risk has emerged as one of the key drivers of the developing "credit crunch" with global financial liquidity plummeting since the crisis began. Despite massive cash injections by governments, the crisis continues. Contemporary research has focussed on the liquidity component of single instruments' value-at-risk. This work is extended in this article to measure portfolio value-at-risk, employing a technique which integrates individual instruments' liquidity-adjusted VaR into a portfolio environment without a commensurate increase of statistical assumptions.
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