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Article
Title:
A Liquidation Risk Adjustment for Value at Risk and Expected Shortfall
Authors:
Lakshithe Wagalath
(
ISEG, UTL
)
Jorge P. Zubelli
(
Instituto de Matematica Pura e Aplicada, Rio de Janeiro
)
Journal:
International Journal Of Theoretical And Applied Finance
Year:
2018
Volume:
21
Number:
3
Pages:
1-21
JEL codes:
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure
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