Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management-Reference-Cited by-同舟云学术

Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management

Published:2001 Issue: Volume: Page:3-13
ISSN:1387-6899
Container-title:Risk Management: The State of the Art
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Author:

Bangia Anil,Diebold Francis X.,Schuermann Til,Stroughair John D.

Publisher

Springer US

Link

http://link.springer.com/content/pdf/10.1007/978-1-4615-0791-8_1.pdf

Reference6 articles.

1. Bertsimas, D. and A.W. Lo (1998), “Optimal Control of Execution Costs,” Journal of Financial Markets, 1, 1–50.

2. Chriss, N. and R. Almgren (1998), “Optimal Liquidation,” Manuscript, Department of Mathematics, University of Chicago, Goldman Sachs & Co., and Courant Institute of Mathematical Sciences.

3. Dunbar, N. (1998), “Meriwether’s Meltdown,” Risk, 11 (October), 32–36.

4. Jarrow, R. and A. Subramanian (1997), “Mopping up Liquidity,” Risk, 10 (December), 170–173.

5. Longstaff, F. (1998), “Optimal Portfolio Choice and Valuation of Illiquid Securities,” Manuscript, Department of Finance, UCLA.

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