Thinly traded securities and risk managementReport as inadecuate




Thinly traded securities and risk management - Download this document for free, or read online. Document in PDF available to download.

Resumen

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.



Author: Bernales Silva, Alejandro; - Beuermann, Diether W.; - Cortázar, Gonzalo; -

Source: http://repositorio.uchile.cl/



DOWNLOAD PDF




Related documents