The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance … sheet and market liquidity are defined and the main principles of the methods for measuring liquidity risk, which banks use …, are identified. Then follow review of main challenges of managing the liquidity of banks. Finally, it discusses …

measure as a measure of market risk. The lack of a liquidity parameter in methodologies used to compute VaR significantly … liquidity risk on market risk assessment, which is obtained by using VaR. The most frequently used technique for VaR estimation … results of this study indicate that the application of a liquidity constraint in the VaR model provides more accurate …

problem. Equipped with the new portfolio theory, we can quantify market liquidity risk and introduce a new market risk measure …The main aim of the thesis is to formulate a concept of liquidity risk and to incorporate liquidity risk in market risk … measurement. We first review two types of liquidity risk and the relation between liquidity risk and market risk. To achieve our …