Risk management with thinly traded securities: Methodology and implementation

Arbeitspapier

Thinly 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IDB Working Paper Series ; No. IDB-WP-458

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Subject: Incomplete Panels ; Kalman Filter ; Market Risk ; Risk Management ; Thin Trading ; Value-at-Risk

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bernales, Alejandro ; Beuermann, Diether W. ; Cortazar, Gonzalo
• Event: Veröffentlichung
• (who): Inter-American Development Bank (IDB)
• (where): Washington, DC
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/115428
• Last update: 10.03.2025, 11:41 AM CET