Cost of Liquidation in StressedMarketsX-(μ, +,)αi=lwhere μ, and o, are the mean and standarddeviation of the spreadand αgives the requiredconfidence levelRiskManagementandFinancialInstitutions3e,Chapter21,CopyrightJohnC.Hull20126
Cost of Liquidation in Stressed Markets Risk Management and Financial Institutions 3e, Chapter 21, Copyright © John C. Hull 2012 confidence level deviation of the spread and gives the required where and are the mean and standard + = i i i i i n i ( ) 2 1 1 6
Liquidity-AdjustedVaR(page452)>Liquidity-adjusted VaR=VaR+s,aLiquidity-adjusted stressedVaR=VaR+(u; +入o,)α;i=lRiskManagementandFinancialInstitutions3e,Chapter21,CopyrightJohnC.Hull20127
Liquidity-Adjusted VaR (page 452) Risk Management and Financial Institutions 3e, Chapter 21, Copyright © John C. Hull 2012 = = = + + = + n i i i i n i i i s 1 1 ( ) 2 1 2 1 Liquidity -adjusted stressed VaR VaR Liquidity -adjusted VaR VaR 7