Sökning: "Watsachol Koosamart"

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  1. 1. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Watsachol Koosamart; Biyun Meng; [2020]
    Nyckelord :expected shortfall; liquidity adjustment; bid-ask spread; liquidity discount; liquidation time; Business and Economics;

    Sammanfattning : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. LÄS MER