Value at Risk for Large Portfolios

Carl Lönnbark, Ulf Holmberg () and Kurt Brännäs ()
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Ulf Holmberg: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

No 769, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: We argue that the practise of valuing the portfolio is important for the calculation of the V aR. In particular, the seller (buyer) of an asset does not face horizontal demand (supply) curves. We propose a partially new approach for incorporating this fact in the V aR and in an empirical illustration we compare it to a competing approach. We find substantial differences.

Keywords: Demand; Supply; Liquidity Risk; Limit Order Book; Bank; Sweden (search for similar items in EconPapers)
JEL-codes: C22 C51 C53 D40 G00 G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: Written

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Persistent link: http://EconPapers.repec.org/RePEc:hhs:umnees:0769

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