Market Risk in Conjuction with Finite Liquidity
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F02%3A00002266" target="_blank" >RIV/61989100:27510/02:00002266 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Market Risk in Conjuction with Finite Liquidity
Original language description
Real markets are usually incomplete - there exist bid/ask spreads, the market depth is limited, etc., so that the price of assets is mainly affected by factors not incorporated in standard models, such as CAPM or Black-Scholes economies. This paper proposes alternative way how to measure risk of any asset connected with various liquidity. The proposed model is useful especially in the short run
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)
Others
Publication year
2002
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
Modelování a řízení finančních rizik
ISBN
80-248-0129-9
ISSN
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e-ISSN
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Number of pages
5
Pages from-to
218-222
Publisher name
VŠB - Technická univerzita Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 4, 2002
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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