{"id":"https://openalex.org/W2733864451","doi":"https://doi.org/10.1016/j.iedeen.2017.05.001","title":"An application of extreme value theory in estimating liquidity risk","display_name":"An application of extreme value theory in estimating liquidity risk","publication_year":2017,"publication_date":"2017-06-29","ids":{"openalex":"https://openalex.org/W2733864451","doi":"https://doi.org/10.1016/j.iedeen.2017.05.001","mag":"2733864451"},"language":"en","primary_location":{"id":"doi:10.1016/j.iedeen.2017.05.001","doi":"https://doi.org/10.1016/j.iedeen.2017.05.001","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.iedeen.2017.05.001","pdf_url":"https://www.sciencedirect.com/science/article/pii/S2444883417300232/pdf","source":{"id":"https://openalex.org/S2898275063","display_name":"European Research on Management and Business Economics","issn_l":"2444-8834","issn":["2444-8834","2444-8842"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","doaj","fecyt-seal","latindex","norway-1","poland-70"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Research on Management and Business Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://www.sciencedirect.com/science/article/pii/S2444883417300232/pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5020717778","display_name":"Sonia Benito Muela","orcid":"https://orcid.org/0000-0001-9409-0868","observed_orcids":["https://orcid.org/0000-0001-9409-0868"]},"institutions":[{"id":"https://openalex.org/I178450904","display_name":"Universidad Nacional de Educaci\u00f3n a Distancia","ror":"https://ror.org/02msb5n36","country_code":"ES","type":"education","lineage":["https://openalex.org/I178450904"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Sonia Benito Muela","raw_affiliation_strings":["National Distance Education University (UNED), Department of Economic Analysis, Faculty of Economics and Management, Senda del Rey, 11, 28040 Madrid, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"National Distance Education University (UNED), Department of Economic Analysis, Faculty of Economics and Management, Senda del Rey, 11, 28040 Madrid, Spain","institution_ids":["https://openalex.org/I178450904"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5044591923","display_name":"Carmen L\u00f3pez-Mart\u00edn","orcid":"https://orcid.org/0000-0001-6520-4950","observed_orcids":["https://orcid.org/0000-0001-6520-4950"]},"institutions":[{"id":"https://openalex.org/I50357001","display_name":"Universidad Carlos III de Madrid","ror":"https://ror.org/03ths8210","country_code":"ES","type":"education","lineage":["https://openalex.org/I50357001"]}],"countries":["ES"],"is_corresponding":false,"raw_author_name":"Carmen L\u00f3pez Mart\u00edn","raw_affiliation_strings":["University Carlos III of Madrid, Department of Statistics, School of Law and Social Sciences, Calle Madrid, 126, 28903 Getafe, Madrid, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University Carlos III of Madrid, Department of Statistics, School of Law and Social Sciences, Calle Madrid, 126, 28903 Getafe, Madrid, Spain","institution_ids":["https://openalex.org/I50357001"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5054860189","display_name":"Raquel Arguedas Sanz","orcid":"https://orcid.org/0000-0001-7368-6347","observed_orcids":["https://orcid.org/0000-0001-7368-6347"]},"institutions":[{"id":"https://openalex.org/I178450904","display_name":"Universidad Nacional de Educaci\u00f3n a Distancia","ror":"https://ror.org/02msb5n36","country_code":"ES","type":"education","lineage":["https://openalex.org/I178450904"]}],"countries":["ES"],"is_corresponding":true,"raw_author_name":"Raquel Arguedas Sanz","raw_affiliation_strings":["National Distance Education University (UNED), Department of Business and Accounting, Faculty of Economics and Management, Senda del Rey, 11, 28040 Madrid, Spain"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"National Distance Education University (UNED), Department of Business and Accounting, Faculty of Economics and Management, Senda del Rey, 11, 28040 Madrid, Spain","institution_ids":["https://openalex.org/I178450904"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5054860189"],"corresponding_institution_ids":["https://openalex.org/I178450904"],"apc_list":{"value":1350,"currency":"USD","value_usd":1350},"apc_paid":{"value":1350,"currency":"USD","value_usd":1350},"fwci":2.7827,"has_fulltext":true,"cited_by_count":19,"citation_normalized_percentile":{"value":0.91127119,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"23","issue":"3","first_page":"157","last_page":"164"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9398999810218811,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9398999810218811,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.011900000274181366,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.006000000052154064,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/liquidity-risk","display_name":"liquidity risk","score":0.9639999866485596},{"id":"https://openalex.org/keywords/extreme-value-theory","display_name":"extreme value theory","score":0.9459999799728394},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.9039999842643738},{"id":"https://openalex.org/keywords/market-risk","display_name":"market risk","score":0.7820000052452087},{"id":"https://openalex.org/keywords/spread-risk","display_name":"spread risk","score":0.4050000011920929},{"id":"https://openalex.org/keywords/basel-accords","display_name":"Basel Accord","score":0.6779999732971191},{"id":"https://openalex.org/keywords/capital-requirements","display_name":"capital requirements","score":0.8799999952316284},{"id":"https://openalex.org/keywords/2008-financial-crisis","display_name":"2008 financial crisis","score":0.8610000014305115}],"concepts":[{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.7286076545715332},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.656760573387146},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.6246591806411743},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5577806234359741},{"id":"https://openalex.org/C147581598","wikidata":"https://www.wikidata.org/wiki/Q729429","display_name":"Extreme value theory","level":2,"score":0.5516768097877502},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.52777099609375},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5249781012535095},{"id":"https://openalex.org/C43071985","wikidata":"https://www.wikidata.org/wiki/Q2906013","display_name":"Financial risk management","level":3,"score":0.5055861473083496},{"id":"https://openalex.org/C2781472820","wikidata":"https://www.wikidata.org/wiki/Q2154759","display_name":"Risk measure","level":3,"score":0.4474138617515564},{"id":"https://openalex.org/C176217482","wikidata":"https://www.wikidata.org/wiki/Q860554","display_name":"Metric (unit)","level":2,"score":0.4380481541156769},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.384243369102478},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3514823615550995},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3301260769367218},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.18638545274734497},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.17491525411605835},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.14110803604125977},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.13561248779296875},{"id":"https://openalex.org/C21547014","wikidata":"https://www.wikidata.org/wiki/Q1423657","display_name":"Operations management","level":1,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1016/j.iedeen.2017.05.001","doi":"https://doi.org/10.1016/j.iedeen.2017.05.001","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.iedeen.2017.05.001","pdf_url":"https://www.sciencedirect.com/science/article/pii/S2444883417300232/pdf","source":{"id":"https://openalex.org/S2898275063","display_name":"European Research on Management and Business Economics","issn_l":"2444-8834","issn":["2444-8834","2444-8842"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","doaj","fecyt-seal","latindex","norway-1","poland-70"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Research on Management and Business Economics","raw_type":"journal-article"},{"id":"pmh:bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0014","doi":null,"is_oa":true,"landing_page_url":"http://e-spacio.uned.es/fez/view/bibliuned:DptoEEC-FCEE-Articulos-Rarguedas-0014","pdf_url":null,"source":{"id":"https://openalex.org/S2737644977","display_name":"Espacio Tiempo y Forma Serie I Prehistoria y Arqueolog\u00eda","issn_l":"1131-7698","issn":["1131-7698","2340-1354"],"is_oa":true,"is_in_doaj":true,"is_core":false,"listed_in":["ddh","doaj","erih-plus","latindex","poland-20"],"host_organization":"https://openalex.org/P4310321040","host_organization_name":"National University of Distance Education","host_organization_lineage":["https://openalex.org/P4310321040"],"host_organization_lineage_names":["National University of Distance Education"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Research on Management and Business Economics","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:idi:jermbe:v:23:y:2017:i:3:p:157-164","doi":null,"is_oa":false,"landing_page_url":"http://www.elsevier.es/en-revista-european-research-on-management-business-489-avance-resumen-an-application-extreme-value-theory-S2444883417300232","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:doaj.org/article:df249fa37b7b47b6bb0154413821eb61","doi":null,"is_oa":true,"landing_page_url":"https://doaj.org/article/df249fa37b7b47b6bb0154413821eb61","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"European Research on Management and Business Economics, Vol 23, Iss 3, Pp 157-164 (2017)","raw_type":"article"},{"id":"pmh:oai:e-spacio.uned.es:20.500.14468/11890","doi":null,"is_oa":true,"landing_page_url":"https://hdl.handle.net/20.500.14468/11890","pdf_url":null,"source":{"id":"https://openalex.org/S7407055166","display_name":"UNED repository","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"journal article"},{"id":"pmh:oai:econstor.eu:10419/205756","doi":null,"is_oa":true,"landing_page_url":"http://hdl.handle.net/10419/205756","pdf_url":null,"source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"doc-type:article"},{"id":"pmh:oai:redalyc.org:501652653004","doi":null,"is_oa":false,"landing_page_url":"https://www.redalyc.org/articulo.oa?id=501652653004","pdf_url":null,"source":{"id":"https://openalex.org/S4377196100","display_name":"Redalyc (Universidad Aut\u00f3noma del Estado de M\u00e9xico)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I179647637","host_organization_name":"Universidad Aut\u00f3noma del Estado de M\u00e9xico","host_organization_lineage":["https://openalex.org/I179647637"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"European Research on Management and Business Economics (Espa\u00f1a) Num.3 Vol.23","raw_type":"art\u00edculo cient\u00edfico"}],"best_oa_location":{"id":"doi:10.1016/j.iedeen.2017.05.001","doi":"https://doi.org/10.1016/j.iedeen.2017.05.001","is_oa":true,"landing_page_url":"https://doi.org/10.1016/j.iedeen.2017.05.001","pdf_url":"https://www.sciencedirect.com/science/article/pii/S2444883417300232/pdf","source":{"id":"https://openalex.org/S2898275063","display_name":"European Research on Management and Business Economics","issn_l":"2444-8834","issn":["2444-8834","2444-8842"],"is_oa":true,"is_in_doaj":true,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","doaj","fecyt-seal","latindex","norway-1","poland-70"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"European Research on Management and Business Economics","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2733864451.pdf","grobid_xml":"https://content.openalex.org/works/W2733864451.grobid-xml"},"referenced_works_count":22,"referenced_works":["https://openalex.org/W1498464051","https://openalex.org/W1819194061","https://openalex.org/W1978305044","https://openalex.org/W1996068192","https://openalex.org/W1998841711","https://openalex.org/W1999996900","https://openalex.org/W2050031929","https://openalex.org/W2076522049","https://openalex.org/W2107073757","https://openalex.org/W2113858036","https://openalex.org/W2158412172","https://openalex.org/W2158712436","https://openalex.org/W2228348569","https://openalex.org/W2738958180","https://openalex.org/W2922048356","https://openalex.org/W3121226868","https://openalex.org/W3121453935","https://openalex.org/W3123118666","https://openalex.org/W3123284655","https://openalex.org/W3124519394","https://openalex.org/W3125132307","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W2016975499","https://openalex.org/W3161778548","https://openalex.org/W7045892411","https://openalex.org/W7112717918","https://openalex.org/W2089299280","https://openalex.org/W2586677275","https://openalex.org/W2569710034","https://openalex.org/W1592992196","https://openalex.org/W6945035877","https://openalex.org/W2153301107"],"abstract_inverted_index":{"The":[0,61],"last":[1],"global":[2],"financial":[3],"crisis":[4],"(2007\u20132008)":[5],"has":[6,40],"highlighted":[7],"the":[8,37,52,55,58,65,100,109,119,125],"weaknesses":[9],"of":[10,18,47,54,114,124],"value":[11,94,106],"at":[12],"risk":[13,30,44,49,59,86,121],"(VaR)":[14],"as":[15,21],"a":[16],"measure":[17],"market":[19,48,120],"risk,":[20],"this":[22,35,74],"metric":[23],"by":[24,50],"itself":[25],"does":[26,76],"not":[27,77],"take":[28],"liquidity":[29,43,71,85],"into":[31,45],"account.":[32],"To":[33],"address":[34],"problem,":[36],"academic":[38],"literature":[39],"proposed":[41],"incorporating":[42],"estimations":[46],"adding":[51],"VaR":[53,80,116],"spread":[56],"to":[57,69],"price.":[60],"parametric":[62],"model":[63],"is":[64],"standard":[66,110],"approach":[67,75,101,111],"used":[68],"estimate":[70],"risk.":[72],"As":[73],"generate":[78],"reliable":[79],"estimates,":[81],"we":[82],"propose":[83],"estimating":[84],"using":[87],"more":[88],"sophisticated":[89],"models":[90],"based":[91,102],"on":[92,103],"extreme":[93,105],"theory":[95,107],"(EVT).":[96],"We":[97],"find":[98],"that":[99],"conditional":[104],"outperforms":[108],"in":[112],"terms":[113],"accurate":[115],"estimates":[117],"and":[118],"capital":[122],"requirements":[123],"Basel":[126],"Capital":[127],"Accord.":[128]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2022,"cited_by_count":4},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":2}],"updated_date":"2026-10-12T09:40:04.860316","created_date":"2017-07-14T00:00:00"}