برچسب: Liquidity Risk
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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 […]
برچسب: Liquidity Risk
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Giot And Grammig-How Large Is Liquidity Risk In An Automated Auction Market
Auction Market 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 and individual stocks traded on the auto mated \auction market Xetra which oper-ates at various European exchanges. When constructing liquidity risk measures we allow for the potential price impact incurred […]
برچسب: Liquidity Risk
5 / 0
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 […]