Abstract
Professional market participants have to deal with illiquid securities on a constant basis. For such securities traditional risk assessment techniques fail. This can lead to underestimated and distorted results for the entire investment portfolio, and ultimately to inadequate risk management. We present a framework, based on coupled-wave model, that allows to model securities with low liquidity and evaluate impact of various risk sources, associated with liquidity. In addition to risk management, this framework should be helpful to firms and trading desks in evaluating cost of liquidity and selecting liquidation tactics for their oversize positions.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
