Liquidity risk theory and coherent measures of risk

By C. Acerbi, Giacomo Scandolo. 2008

118 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9f38620e0972edae306a03b85d6fc5eeafd0ebe5

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Miklós Pintér
2. Péter Csóka

In Management Science and Operations Research

1. Miklós Pintér
2. Péter Csóka

Citations in the corpus

• On the Impossibility of Fair Risk Allocation (2010, background): “For the interpretation of the axioms see Acerbi and Scandolo (2008), who justify them to incorporate liquidity risk as well.”
• Interest Rates and The Credit Crunch: New Formulas and Market Models (2009, unknown): “If the OIS (EONIA) swap curve is elected to be the risk-free curve, which is reasonable since the credit risk in an overnight rate is deemed to be negligible even in this new market situation, then (1) explains that the FRA rate FX can be (arbitrarily) higher than the corresponding forward OIS rate ”