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Market Liquidity Risk and Market Risk Management
SSRN Electronic Journal, 2009The main aim of the thesis is to formulate a concept of liquidity risk and to incorporate liquidity risk in market risk measurement. We first review two types of liquidity risk and the relation between liquidity risk and market risk. To achieve our aim, we use a new framework of portfolio theory introduced by Acerbi.
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Journal of Business Research, 1987
Abstract A model for assessing the risks specific to a marketing strategy is developed and applied to data generated by executive decisions made in the Markstrat environment. The specific risks of a marketing strategy are those associated with changes in primary demand and market share.
Victor J Cook, John R Page
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Abstract A model for assessing the risks specific to a marketing strategy is developed and applied to data generated by executive decisions made in the Markstrat environment. The specific risks of a marketing strategy are those associated with changes in primary demand and market share.
Victor J Cook, John R Page
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Market Value and Systematic Risk
The Journal of Finance, 1977ONE OF THE CENTRAL ISSUES in the theory of finance is the relationship between expected risk and expected return required by individuals investing in assets. The Capital Asset Pricing Model (CAPM)' provides such a theoretical relationship under conditions of market equilibrium.
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2020
Data and description of two classroom-field experiments and one laboratory ...
Sornette, Didier +2 more
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Data and description of two classroom-field experiments and one laboratory ...
Sornette, Didier +2 more
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The Journal of Trading, 2009
The events of today are showing what risk really is, how at risk our financial markets truly are, and how much we do not know about risk. But risk is one thing; there is also uncertainty. Risk exists when an outcome can be described as a draw from a probability distribution with known parameters. Uncertainty is a bigger problem; with it, we do not even
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The events of today are showing what risk really is, how at risk our financial markets truly are, and how much we do not know about risk. But risk is one thing; there is also uncertainty. Risk exists when an outcome can be described as a draw from a probability distribution with known parameters. Uncertainty is a bigger problem; with it, we do not even
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2019
In the first 5 min (9:30–9:35 AM EST) after the market opened on Friday, June 24, 2016, the trading volume of the Dow Jones Industrial Average reached 5.71 million shares; by the closing minute (4:00 PM), the volume was over 63 million shares (Table 2.1).
Art Sedighi, Milton Smith
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In the first 5 min (9:30–9:35 AM EST) after the market opened on Friday, June 24, 2016, the trading volume of the Dow Jones Industrial Average reached 5.71 million shares; by the closing minute (4:00 PM), the volume was over 63 million shares (Table 2.1).
Art Sedighi, Milton Smith
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2019
The global marketplace of the twenty-first century is congested with various brands of multi-domestic, global, and local origin. Local brands have higher potential to follow the brand marketing strategies of popular brands of other categories as the local brands serve a small niche of the consumer segment and make a deeper impact on the consumer ...
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The global marketplace of the twenty-first century is congested with various brands of multi-domestic, global, and local origin. Local brands have higher potential to follow the brand marketing strategies of popular brands of other categories as the local brands serve a small niche of the consumer segment and make a deeper impact on the consumer ...
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1994
Emphasis in studies of financial instability is traditionally placed on bank failures, or consequences of sharp changes in equity prices.’ This paper suggests that market liquidity crises in debt markets, such as the collapse of liquidity in the ECU bond market in 1992, may be of equal or greater concern, particularly given the increasing use of such ...
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Emphasis in studies of financial instability is traditionally placed on bank failures, or consequences of sharp changes in equity prices.’ This paper suggests that market liquidity crises in debt markets, such as the collapse of liquidity in the ECU bond market in 1992, may be of equal or greater concern, particularly given the increasing use of such ...
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2017
In Chap. 3 the market risk of an investment was studied from a one-dimensional perspective, that is, considering only two points in time: the moment when the investment is made, which involves buying a portfolio of shares, and the time at which its value is measured.
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In Chap. 3 the market risk of an investment was studied from a one-dimensional perspective, that is, considering only two points in time: the moment when the investment is made, which involves buying a portfolio of shares, and the time at which its value is measured.
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