Thinly traded securities and risk management

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dc.contributor.authorBernales, Alejandro
dc.contributor.authorBeuermann, Diether W.
dc.contributor.authorCortazar, Gonzalo
dc.date.accessioned2025-01-23T21:45:19Z
dc.date.available2025-01-23T21:45:19Z
dc.date.issued2014
dc.description.abstractThinly 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.
dc.fuente.origenWOS
dc.identifier.issn0718-5286
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/101709
dc.identifier.wosidWOS:000336635700001
dc.issue.numero1
dc.language.isoen
dc.pagina.final48
dc.pagina.inicio5
dc.revistaEstudios de economia
dc.rightsacceso restringido
dc.subjectIncomplete panels
dc.subjectKalman filter market risk
dc.subjectrisk management
dc.subjectthin trading
dc.subjectvalue-at-risk
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleThinly traded securities and risk management
dc.typeartículo
dc.volumen41
sipa.indexWOS
sipa.trazabilidadWOS;2025-01-12
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