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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...

Recent Posts

  • Optimization of VaR and Trading Liquidity Risk in Excel: Unwinding a Position Optimally
  • Modeling Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) in Excel (Historical, Gaussian, and Cornish-Fisher)
  • Binomial Option Pricing Model with Excel VBA (for European Options)
  • Modeling Interest Rate Immunization: Managing the Interest Rate Risk of a Single Liability
  • Finding Option Implied Volatility using Goal Seek in Excel

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