We introduce the Budapest Liquidity Measure (BLM) and one of its possible applications in the field of risk management. BLM is a weighted spread measure, it represents the implicit costs of trading, which arise from the fact that actual trading is not executed at the mid-price. Traditional VaR...

When focusing on business performance of a country, industry or an individual firm the performance of companies may be tracked using various measures. By simulating the behaviour of a simple firm, our model underlines that the choice of measurement unit determines what distortions we will face,...