Optimization of VaR and Trading Liquidity Risk in Excel: Unwinding a Position Optimally

Описание к видео Optimization of VaR and Trading Liquidity Risk in Excel: Unwinding a Position Optimally

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If a trader needs to unwind a large position, he or she is exposed to:

the potential loss from price movements, and
trading liquidity risk
The trader may wish to minimize the Value-at-Risk (VaR) after considering the trading costs (or cost of liquidation). What is the optimal trading strategy then to achieve the trader's objective?

The video explains the concept and define the problem set. At the end, I will use a simple case which will be the input to build the model in Excel.

This model is part of the FRM Part 2 exam syllabus, under the reading "Liquidity Risk".

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