برچسب: VaR
5 / 0
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 […]