Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those...

Liquidity, the ease of trading an asset, strongly varies between different sizes of stockpositions. We analyze this aspect using the Xetra Liquidity Measure (XLM), whichcalculates daily, weighted spread for impatient traders transacting against the limitorder book. For this measure, we have data...