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Liquidity risk is a financial risk that for a certain period of time a given financial asset, ... The liquidity-adjusted CAPM pricing model therefore states that, the ...
Financial risk modeling is the use of formal mathematical and econometric techniques to measure, monitor and control the market risk, credit risk, and operational risk on a firm's balance sheet, on a bank's accounting ledger of tradeable financial assets, or of a fund manager's portfolio value; see Financial risk management.
By analogy with Value-at-Risk one may also define a statistical notion of Liquidity-at-Risk, at a given confidence level (e.g. 95%), which may be defined as the highest Liquidity-at-Risk that may occur across all scenarios considered under a probabilistic model, with probability higher than the confidence level. [2]
Liquidity risk is one of them. For guidance in evaluating the liquidity risk of a particular investment or the liquidity profile of your overall portfolio, consider enlisting the help of a trusted ...
Asset and liability management (often abbreviated ALM) is the term covering tools and techniques used by a bank or other corporate to minimise exposure to market risk and liquidity risk through holding the optimum combination of assets and liabilities. [1]
Extensions to VaR include Margin-, Liquidity-, Earnings-and Cash flow at risk, as well as Liquidity-adjusted VaR. For both (i) and (ii), model risk is addressed [34] through regular validation of the models used by the bank's various divisions; for VaR models, backtesting is especially employed. Regulatory changes, are also twofold.
Cont is known in mathematics for his the "Causal functional calculus", a calculus for non-anticipative, or "causal", functionals on the space of paths. [29] Cont and collaborators built on the seminal work of German mathematician Hans Föllmer [30] and Bruno Dupire to construct a calculus for non-anticipative functionals, [31] which includes as a special case the so-called Ito-Föllmer ...
[1] [2] A risk factor is a concept in finance theory such as the capital asset pricing model, arbitrage pricing theory and other theories that use pricing kernels. In these models, the rate of return of an asset ( hence the converse its price ) is a random variable whose realization in any time period is a linear combination of other random ...