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 liquidity …

This paper analyzes the relation between agency conflicts and risk management in a contingent claims model of the firm … issued. The paper also examines managers risk-shifting incentives and provides an analysis of the benefits associated with … risk management in different economic enviromnents. …

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 …

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread … measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective … find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for …

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 …

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 … alternative empirical risk estimation. …