Völker, Florian; Cremers, Heinz; Panzer, Christof - 2012
Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i … trading a position, we first define market liquidity risk, its dimensions (tightness, depth, resiliency, immediacy) and causes … (exogenous / endogenous). We then present and evaluate different liquidity-adjusted Value at Risk models which capture one or …