bond market liquidity. In order to stabilize these markets, policy makers recently proposed that the trading of corporate … only if it is feasible for him to also affect market liquidity, by either increasing or decreasing it. …

assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …

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

It has been frequently discussed, that returns are not normally distributed. Liquidity costs, measuring market … 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 …