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How Large Is Liquidity Risk In An Automated

How Large Is Liquidity Risk In An Automated
How Large Is Liquidity Risk In An Automated

Liquidity Risk We introduce a new empirical methodology that takes account of \liquidity risk in a Value-at-Risk framework, and quantify \liquidity risk premiums for portfolios a n d individual stocks traded on the automated auction market Xetra which operates at various European exchange s. When constructing liquidity risk measures we allow for the potential price […]

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How Large Is \Liquidity Risk In An Automated

Liquidity Risk

We introduce a new empirical methodology that takes account of \liquidity risk

in a Value-at-Risk framework, and quantify \liquidity risk premiums for portfolios

a n d individual stocks traded on the automated auction market Xetra

which operates at various European exchange s. When constructing liquidity

risk measures we allow for the potential price impact incurred by the liquidation

of a portfolio. W e study the sensitivity of \liquidity risk towards portfolio size

and VaR time horizon, and interpret its diurnal variation in the light of

market microstructure theory.

Liquidity Risk
   

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  • عنوان مقاله : How Large Is Liquidity Risk In An Automated
  • نوع فایل : PDF
  • حجم فایل : 830 کیلوبایت

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