Cornell University

CFEM Seminar: Lakshithe Wagalath (IESEG) - Risk Management for Whales

Wednesday, April 25, 2018 at 6:00pm

Cornell Tech, 2 W Loop Rd, New York, NY 10044, Bloomberg 061

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We propose a portfolio risk model which integrates market risk with liquidation costs. The model provides a framework for computing liquidation-adjusted risk measures such as Liquidation-adjusted VaR (LVaR). Calculation of liquidation-adjusted Value-at-Risk (LVaR) for simulated and real-life examples reveals a substantial impact of liquidation costs on portfolio risk for portfolios with large concentrated positions. This is joint work with Rama Cont.

Bio: Lakshithe Wagalath is associate professor at IESEG School of Management, Paris. His research focuses on the mathematical modeling of endogenous risk and systemic risk in financial markets and the development of tools for monitoring price-mediated contagion from fire sales and financial stability. He graduated from École Polytechnique, Paris, and holds a Ph.D. in mathematics from Université Pierre et Marie Curie, Paris.