Thinly traded securities and risk management

被引：0

作者：

Bernales, Alejandro ^{[1
,2
]}

Beuermann, Diether W. ^{[3
]}

Cortazar, Gonzalo ^{[4
]}

机构：

[1] Banque France, Paris, France

[2] Univ Chile, Ctr Finanzas, Santiago, Chile

[3] Interamer Dev Bank, Washington, DC USA

[4] Pontificia Univ Catolica Chile, Santiago, Chile

来源：

ESTUDIOS DE ECONOMIA | 2014年 / 41卷 / 01期

关键词：

Incomplete panels; Kalman filter market risk; risk management; thin trading; value-at-risk; VALUE-AT-RISK; TERM-STRUCTURE; MARKETS; STOCK; MODELS; SPECIFICATION; DYNAMICS; SPREADS; OPTIONS; PRICES;

D O I：

10.4067/S0718-52862014000100001

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement our approach in a fixed-income portfolio within a thin trading environment. However, a similar approach may be also applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios with infrequent trading.

引用

页码：5 / 48

页数：44

共 50 条

[21] Price Discovery in Thinly Traded Futures Markets: How Thin is Too Thin?
Adaemmer, Philipp
Bohl, Martin T.
Gross, Christian
[J]. JOURNAL OF FUTURES MARKETS, 2016, 36 (09) : 851 - 869
[22] Assessing proxies for market prices of thinly traded assets with scheduled cash flows
Boudry, Walter I.
Liu, Crocker H.
Muhlhofer, Tobias
Torous, Walter N.
[J]. JOURNAL OF EMPIRICAL FINANCE, 2024, 78
[23] Return dynamics during periods of high speculation in a thinly traded commodity market
Bohl, Martin T.
Stefan, Martin
[J]. JOURNAL OF FUTURES MARKETS, 2020, 40 (01) : 145 - 159
[24] EFFICIENCY AND INEFFICIENCY IN THINLY TRADED STOCK MARKETS - KUWAIT AND SAUDI-ARABIA
BUTLER, KC
MALAIKAH, SJ
[J]. JOURNAL OF BANKING & FINANCE, 1992, 16 (01) : 197 - 210
[25] USE OF MODERN FINANCE THEORY IN SECURITIES FRAUD CASES INVOLVING ACTIVELY TRADED SECURITIES
FISCHEL, DR
[J]. BUSINESS LAWYER, 1982, 38 (01): : 1 - 20
[26] An Intrinsic Entropy Model for Exchange-Traded Securities
Vinte, Claudiu
Smeureanu, Ion
Furtuna, Titus-Felix
Ausloos, Marcel
[J]. ENTROPY, 2019, 21 (12)
[27] THE IMPORTANCE OF MARKET RISK MEASUREMENT OF TRADED INSTRUMENTS IN THE BANKING RISK MANAGEMENT
Caracota-Dimitriu, Maria
Tabara, Olga Alexandra Terpezan
[J]. ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2009, 43 (01): : 165 - 182
[28] Spot price volatility, information and futures trading: Evidence from a thinly traded market
Holmes, P
[J]. APPLIED ECONOMICS LETTERS, 1996, 3 (01): : 63 - 66
[29] Econometric methods for derivative securities and risk management
Garcia, R
Ghysels, E
Renault, E
[J]. JOURNAL OF ECONOMETRICS, 2000, 94 (1-2) : 1 - 7
[30] Can an ordinary abandonment loss be taken on publicly traded securities?
Bambas, KJ
Grider, G
[J]. JOURNAL OF TAXATION, 1996, 84 (02): : 80 - 83

← 1 2 3 4 5 →