Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/115428 
Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
IDB Working Paper Series No. IDB-WP-458
Verlag: 
Inter-American Development Bank (IDB), Washington, DC
Zusammenfassung: 
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.
Schlagwörter: 
Incomplete Panels
Kalman Filter
Market Risk
Risk Management
Thin Trading
Value-at-Risk
JEL: 
G11
G12
G32
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.26 MB





Publikationen in EconStor sind urheberrechtlich geschützt.