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 …

drying up of liquidity. Financial firms raise short-term debt in order to finance assetpurchases. When asset fundamentals … de-lever by selling assets to better-capitalizedfirms. Thus the market liquidity of assets depends on the severity of the … market liquidity can in fact be greater.... …

explains why liquidity cannot easily be apprehended through a single statistics, and asks whether liquidity should be regulated …