Bangia, Diebold, Schuermann And Stroughair-Modeling Liquidity Risk, With Implications For Traditi
Market risk management under normal conditions traditionally has focussed on the distribution of portfolio value changes resulting from moves in the mid-price. Hence the market risk is really in a “pure” form: risk in an idealized market with no “friction” in obtaining the fair price. However, many markets possess an additional liquidity component that arises […]