Tid: 8 november 1999 kl 1515-1600
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Arun Kaul
Titel: Liquidity Risk for portfolio transactions (Examensarbete)
Sammanfattning:
Based on a model for optimal liquidation by Almgren and Chriss, a liquidity adjusted Value-at-Risk measure is suggested. Both the optimal liquidation model and the related liquidity adjusted Value-at-Risk measure are tested on different Swedish markets.