Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146716
Authors: 
Bernales, Alejandro
Beuermann, Diether W.
Cortazar, Gonzalo
Year of Publication: 
2014
Citation: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 41 [Year:] 2014 [Issue:] 1 [Pages:] 5-48
Abstract: 
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.
Subjects: 
incomplete panels
Kalman filter
market risk
risk management
thin trading
value-at-risk
JEL: 
G11
G12
G32
Document Type: 
Article

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