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Document type:
Masterarbeit
Author(s):
Ernst, Cornelia
Title:
The most reliable approach to measure Value at Risk adjusted for market liquidity
Abstract:
This thesis aims at finding a method for calculating liquidity adjusted Value at Risk that is most accurate and at the same time implementable in practice. The first objective is to provide a comprehensive overview on existing liquidity adjusted risk measures, assess them critically and evaluate their practicability. Second, I propose a new method to measure liquidity adjusted Value at Risk that accounts for non-normality in price and liquidity cost data using a technique called Cornish-Fisher e...    »
Referee:
Prof. Dr. Rudi Zagst
Year:
2009
Language:
en
Notes:
Elitestudiengang FIM
University:
Technische Universität München
Faculty:
Fakultät für Mathematik
Format:
Text
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