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

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

Financial Modeling

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...

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