Título:

A Liquidation Risk Adjustment for Value at Risk and Expected Shortfall

Autores:

Lakshithe Wagalath (ISEG, UTL)
Jorge P. Zubelli (Instituto de Matematica Pura e Aplicada, Rio de Janeiro)

Revista:

International Journal Of Theoretical And Applied Finance

Ano:

2018

Volume:

21

Número:

3

Páginas:

1-21

Códigos JEL:

G12 - Asset Pricing; Trading volume; Bond Interest Rates
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure