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An application of extreme value theory in estimating liquidity risk
The last global financial crisis (2007–2008) has highlighted the weaknesses of value at risk (VaR) as a measure of market risk, as this metric by itself does not take liquidity risk into account. To address this problem, the academic literature has proposed incorporating liquidity risk into estimati...
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| Publicado no: | European Research on Management and Business Economics |
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| Main Authors: | , , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
Academia Europea de Dirección y Economía de la Empresa
2017
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| Assuntos: | |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=501652653004 |
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