This paper provides a new model-free indicator of liquidity, the so-called LIX index. The computation of the LIX index … stock with those observed in the market allows us to derive a model-free and unit-less indicator of spot liquidity. Just as … index measures, in a similar market-implied fashion, the liquidity risk. The maximum likelihood estimation of popular mean …

Stress in liquidity is at the heart of any banking crisis in history. During the financial crisis of 2007-09, funding … liquidity risk caused the collapse of interbank markets, which became the focus of authorities' attention at restoring order …. Accordingly, central banks and other regulatory bodies world-wide have been evolving prudential liquidity norms in order to impart …