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Liquidity risk theory and coherent measures of risk
Citations
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Cited by:
- Andreas H Hamel, 2018. "Monetary Measures of Risk," Papers 1812.04354, arXiv.org.
- Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020.
"Spectral risk measure of holding stocks in the long run,"
Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
- Zsolt Bihary & Peter Csoka & David Zoltan Szabo, 2018. "Spectral risk measure of holding stocks in the long run," CERS-IE WORKING PAPERS 1812, Institute of Economics, Centre for Economic and Regional Studies.
- Bianchetti, Marco & Carlicchi, Mattia, 2012. "Markets Evolution After the Credit Crunch," MPRA Paper 44023, University Library of Munich, Germany.
- Csóka, Péter & Herings, P. Jean-Jacques, 2014.
"Risk allocation under liquidity constraints,"
Journal of Banking & Finance, Elsevier, vol. 49(C), pages 1-9.
- Peter Csoka & P. Jean-Jacques Herings, 2013. "Risk Allocation under Liquidity Constraints," CERS-IE WORKING PAPERS 1331, Institute of Economics, Centre for Economic and Regional Studies.
- Péter Csóka & P. Jean-Jacques Herings, 2014. "Risk Allocation under Liquidity Constraints," Working Papers 2014.47, Fondazione Eni Enrico Mattei.
- Csóka, Péter & Herings, P. Jean-Jacques, 2014. "Risk Allocation under Liquidity Constraints," Climate Change and Sustainable Development 172703, Fondazione Eni Enrico Mattei (FEEM).
- Csóka, P. & Herings, P.J.J., 2013. "Risk allocation under liquidity constraints," Research Memorandum 057, Maastricht University, Graduate School of Business and Economics (GSBE).
- Havran, Dániel & Erb, Tamás, 2015. "Mit veszítünk a piaci súrlódásokkal?. A pénzügyi piacok mikrostruktúrája [Trading mechanisms and market frictions. Microstructure of the financial markets]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 229-262.
- Marco Bianchetti & Mattia Carlicchi, 2013. "Markets Evolution After the Credit Crunch," Papers 1301.7078, arXiv.org.
- Csóka, Péter & Bihary, Zsolt & Kondor, Gábor, 2018. "A részvénytartás spektrális kockázata hosszú távon [On the spectral measure of risk in holding stocks in the long run]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 687-700.
- Csóka Péter & Pintér Miklós, 2016.
"On the Impossibility of Fair Risk Allocation,"
The B.E. Journal of Theoretical Economics, De Gruyter, vol. 16(1), pages 143-158, January.
- Csóka, Péter & Pintér, Miklós, 2010. "On the impossibility of fair risk allocation," MPRA Paper 26515, University Library of Munich, Germany.
- Csóka, Péter & Pintér, Miklós, 2014. "On the impossibility of fair risk allocation," Corvinus Economics Working Papers (CEWP) 2014/12, Corvinus University of Budapest.
- Peter Csoka & Miklos Pinter, 2011. "On the Impossibility of Fair Risk Allocation," CERS-IE WORKING PAPERS 1117, Institute of Economics, Centre for Economic and Regional Studies.
- Sebestyén, Tamás, 2016. "Doktoranduszhallgatók IV. Nyári Műhelye. MKE-PTE KTK, Pécs, 2016. június 3 [The 4th Summer Workshop of Doctoral Students. Hungarian Economics Association/Pécs University, Faculty of Economics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 1011-1018.
- Csóka, Péter, 2017.
"Fair risk allocation in illiquid markets,"
Finance Research Letters, Elsevier, vol. 21(C), pages 228-234.
- Peter Csoka, 2015. "Fair risk allocation in illiquid markets," CERS-IE WORKING PAPERS 1509, Institute of Economics, Centre for Economic and Regional Studies.
- Judit Hevér & Péter Csóka, 2023. "The effect of funding liquidity regulation and ESG promotion on market liquidity," CERS-IE WORKING PAPERS 2307, Institute of Economics, Centre for Economic and Regional Studies.
- Tomasz R. Bielecki & Igor Cialenco & Tao Chen, 2014. "Dynamic Conic Finance via Backward Stochastic Difference Equations," Papers 1412.6459, arXiv.org, revised Dec 2014.
- Edward Tsang & Richard Olsen & Shaimaa Masry, 2012. "A formalization of double auction market dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 13(7), pages 981-988, October.
- Thomas Paul & Thomas Walther & André Küster-Simic, 2022. "Empirical analysis of the illiquidity premia of German real estate securities," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 36(2), pages 203-260, June.
- Hevér, Judit, 2017. "A likviditás és a permanens árhatás szerepe a portfólióértékelésben [The role of liquidity policy and permanent price impact in portfolio valuation]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 594-611.
- Marco, Bianchetti & Mattia, Carlicchi, 2012. "Interest Rates After The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR," MPRA Paper 42248, University Library of Munich, Germany.
- Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
- Csóka, Péter & Bátyi, Tamás László & Pintér, Miklós & Balog, Dóra, 2011. "Tőkeallokációs módszerek és tulajdonságaik a gyakorlatban [Methods of capital allocation and their characteristics in practice]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 619-632.
- Michael Adusei, 2022. "The liquidity risk–financial performance nexus: Evidence from hybrid financial institutions," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(1), pages 31-47, January.
- Banerjee, Tathagata & Feinstein, Zachary, 2021. "Price mediated contagion through capital ratio requirements with VWAP liquidation prices," European Journal of Operational Research, Elsevier, vol. 295(3), pages 1147-1160.
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2018. "Local Control Regression: Improving the Least Squares Monte Carlo Method for Portfolio Optimization," Papers 1803.11467, arXiv.org, revised Sep 2018.
- Peter Csoka & Judit Hever, 2023. "The Effect of Regulatory Requirements and ESG Promotion on Market Liquidity," MNB Working Papers 2023/1, Magyar Nemzeti Bank (Central Bank of Hungary).
- Righi, Marcelo Brutti, 2024.
"Star-shaped acceptability indexes,"
Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 170-181.
- Marcelo Brutti Righi, 2021. "Star-shaped acceptability indexes," Papers 2110.08630, arXiv.org, revised May 2024.
- Dóra Balog & Tamás László Bátyi & Péter Csóka & Miklós Pintér, 2014.
"Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity,"
CERS-IE WORKING PAPERS
1417, Institute of Economics, Centre for Economic and Regional Studies.
- Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2014. "Properties of risk capital allocation methods: Core Compatibility, Equal Treatment Property and Strong Monotonicity," Corvinus Economics Working Papers (CEWP) 2014/13, Corvinus University of Budapest.
- Erindi Allaj, 2014. "Risk measuring under liquidity risk," Papers 1412.6745, arXiv.org.
- Fabio Caccioli & Jean-Philippe Bouchaud & J. Doyne Farmer, 2012. "A proposal for impact-adjusted valuation: Critical leverage and execution risk," Papers 1204.0922, arXiv.org, revised Aug 2012.
- Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
- Daniel Havran & Kata Varadi, 2015. "Price Impact and the Recovery of the Limit Order Book: Why Should We Care About Informed Liquidity Providers?," CERS-IE WORKING PAPERS 1540, Institute of Economics, Centre for Economic and Regional Studies.
- Hevér, Judit, 2020. "A piaci likviditás és a szabályozás kapcsolatának vizsgálata általános egyensúlyelméleti modellkeretben [The effect of regulation on market liquidity: a general equilibrium approach]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 708-733.
- Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
- Jianping Li & Lu Wei & Cheng-Few Lee & Xiaoqian Zhu & Dengsheng Wu, 2018. "Financial statements based bank risk aggregation," Review of Quantitative Finance and Accounting, Springer, vol. 50(3), pages 673-694, April.
- Stange, Sebastian & Kaserer, Christoph, 2008. "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series 2008-10, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- Csóka, Péter & Hevér, Judit, 2018.
"Portfolio valuation under liquidity constraints with permanent price impact,"
Finance Research Letters, Elsevier, vol. 26(C), pages 235-241.
- Peter Csoka & Judit Hever, 2017. "Portfolio valuation under liquidity constraints with permanent price impact," CERS-IE WORKING PAPERS 1736, Institute of Economics, Centre for Economic and Regional Studies.
- Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2016. "Liquidity Risk And Instabilities In Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-28, August.
- Daniel Lacker, 2018. "Liquidity, Risk Measures, and Concentration of Measure," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 813-837, August.
- Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
- Marcelo Brutti Righi & Marlon Ruoso Moresco, 2022. "Star-Shaped deviations," Papers 2207.08613, arXiv.org.
- Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
- Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
- Balog, Dóra & Bátyi, Tamás László & Csóka, Péter & Pintér, Miklós, 2017. "Properties and comparison of risk capital allocation methods," European Journal of Operational Research, Elsevier, vol. 259(2), pages 614-625.
- Csóka, Péter & Havran, Dániel & Váradi, Kata, 2013. "Konferencia a pénzügyi piacok likviditásáról. Third Annual Financial Market Liquidity Conference BCE Befektetések és Vállalati Pénzügy Tanszék-MTA KRTK KTI Játékelméleti Kutatócsoport-Nemzetközi Banká," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(4), pages 477-485.
- Hans Rau-Bredow, 2019. "Bigger Is Not Always Safer: A Critical Analysis of the Subadditivity Assumption for Coherent Risk Measures," Risks, MDPI, vol. 7(3), pages 1-18, August.
- Daniel Lacker, 2015. "Liquidity, risk measures, and concentration of measure," Papers 1510.07033, arXiv.org, revised Oct 2015.