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Liquidity Risk in Energy Markets

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Mathematical Finance

Part of the book series: Trends in Mathematics ((TM))

Abstract

We describe how to incorporate the dynamic effects connected with the Liquidity Risk(LR)in the standard “static” Value at Risk(VaR)methodology. An integral-like equation was derived to define aliquidation timefor a particular instrument (any financial derivative). Furthermore, we show that dynamicLRfor the total portfolio may be calculated through the specialrenormalization ofthe weights/positionsofeachofthe portfolio constituents.

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Author information

Authors and Affiliations

  1. Dr. Willem Dreesweg 2, Southern Energy Europe, Amstelveen, The Netherlands

    S. Nagornii & G. Dozeman

Authors
  1. S. Nagornii
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  2. G. Dozeman
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Editor information

Editors and Affiliations

  1. Fakultät für Mathematik und Informatik, Universität Konstanz, Postfach 5560, Konstanz, D-78434, Germany

    Michael Kohlmann

  2. Department of Mathematics, Fudan University, Shanghai, 200433, China

    Shanjian Tang

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© 2001 Springer Basel AG

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Nagornii, S., Dozeman, G. (2001). Liquidity Risk in Energy Markets. In: Kohlmann, M., Tang, S. (eds) Mathematical Finance. Trends in Mathematics. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8291-0_25

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  • DOI: https://doi.org/10.1007/978-3-0348-8291-0_25

  • Publisher Name: Birkhäuser, Basel

  • Print ISBN: 978-3-0348-9506-4

  • Online ISBN: 978-3-0348-8291-0

  • eBook Packages: Springer Book Archive

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