Strnad, Petr - In: Acta Oeconomica Pragensia 2009 (2009) 2, pp. 21-37
VaR assessment are based only on mid prices and do not take into account the existence of time-varying bid-ask spreads. In …, they focus only on pure market risks without taking into account the market liquidity. As a consequence, they underestimate … the total risk. This paper focuses on the importance of market liquidity and describes ways to integrate it into the VaR …
