Thinly traded securities and risk management

Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the Kalm...

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Detalles Bibliográficos
Autores principales:	Bernales,Alejandro, Beuermann,Diether W, Cortazar,Gonzalo
Lenguaje:	English
Publicado:	Universidad de Chile. Departamento de Economía 2014
Materias:	Incomplete panels Kalman filter market risk risk management thin trading value-at-risk
Acceso en línea:	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862014000100001
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spelling	oai:scielo:S0718-528620140001000012014-06-25Thinly traded securities and risk managementBernales,AlejandroBeuermann,Diether WCortazar,Gonzalo Incomplete panels Kalman filter market risk risk management thin trading value-at-risk Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement our approach in a fixed-income portfolio within a thin trading environment. However, a similar approach may be also applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios with infrequent trading.info:eu-repo/semantics/openAccessUniversidad de Chile. Departamento de EconomíaEstudios de economía v.41 n.1 20142014-06-01text/htmlhttp://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862014000100001en10.4067/S0718-52862014000100001
institution	Scielo Chile
collection	Scielo Chile
language	English
topic	Incomplete panels Kalman filter market risk risk management thin trading value-at-risk
spellingShingle	Incomplete panels Kalman filter market risk risk management thin trading value-at-risk Bernales,Alejandro Beuermann,Diether W Cortazar,Gonzalo Thinly traded securities and risk management
description	Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the Kalman filter which can be used on incomplete datasets. We implement our approach in a fixed-income portfolio within a thin trading environment. However, a similar approach may be also applied to other markets with thinly traded securities. Our methodology provides reliable market risk measures in portfolios with infrequent trading.
author	Bernales,Alejandro Beuermann,Diether W Cortazar,Gonzalo
author_facet	Bernales,Alejandro Beuermann,Diether W Cortazar,Gonzalo
author_sort	Bernales,Alejandro
title	Thinly traded securities and risk management
title_short	Thinly traded securities and risk management
title_full	Thinly traded securities and risk management
title_fullStr	Thinly traded securities and risk management
title_full_unstemmed	Thinly traded securities and risk management
title_sort	thinly traded securities and risk management
publisher	Universidad de Chile. Departamento de Economía
publishDate	2014
url	http://www.scielo.cl/scielo.php?script=sci_arttext&pid=S0718-52862014000100001
work_keys_str_mv	AT bernalesalejandro thinlytradedsecuritiesandriskmanagement AT beuermanndietherw thinlytradedsecuritiesandriskmanagement AT cortazargonzalo thinlytradedsecuritiesandriskmanagement
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Thinly traded securities and risk management

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