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 … benchmarked. This paper performs comparative back-tests of daily risk forecasts for a large selection of traceable liquidity risk …

liquidity, are similarly non-normally distributed displaying fat tails and skewness. Liquidity risk models either ignore this …, parametric approach based on the Cornish-Fisher approximation to account for non-normality in liquidity risk. We show how to …It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market …

This paper explains the emergence of liquidity traps in the aftermath of large-scale financial crises, as happened in … equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable …

We test whether the …´firms systematic equity risk reflects the shareholders´ incen-tives to default strategically on …

characteristics. From a risk-neutral investor's perspective, higher current prices imply higher losses in case of default, which must …

This paper develops a quantitative framework for analyzing the impact of macroeconomic conditions on credit risk and …

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded … long remained a more or less elusive concept. Treatment of liquidity risk is still under development. This paper provides … an overview on important aspects of market liquidity and its risk. We also survey existing models to integrate market …