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Persistent link: https://www.econbiz.de/10009680546
We introduce a new framework to integrate liquidity risk, funding risk and market risk, which goes beyond the simple bid-ask spread overlay to a VaR number. In our approach, we overlay a whole distribution of liquidity uncertainty to each future market-risk scenario. Then we allow for the...
Persistent link: https://www.econbiz.de/10013093458