Time series properties of liquidation discount
This paper proposes an approach for quantifying liquidity risk. Urgent liquidation of a portfolio will entail a liquidation discount. This is the market impact discount in value yielded by the immediate sale of the portfolio relative to its in hand market value calculated from the prevailing market...
| Main Authors: | , , , |
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| Format: | Conference Paper |
| Published: |
Modelling and Simulation Society of Australia and New Zealand
2013
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| Subjects: | |
| Online Access: | http://www.mssanz.org.au/modsim2013/F3/chan2.pdf http://hdl.handle.net/20.500.11937/58313 |