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Lost In Contagion? Building A Liquidation Index From Covariance Dynamics

Author

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  • Lakshithe Wagalath

    (LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique, LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique)

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Suggested Citation

  • Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," Post-Print hal-01745354, HAL.
    • Handle: RePEc:hal:journl:hal-01745354
    DOI: 10.1142/S0219024917500017
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    Cited by:

    1. Lakshithe Wagalath & Jorge P. Zubelli, 2018. "A Liquidation Risk Adjustment For Value At Risk And Expected Shortfall," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(03), pages 1-21, May.

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