We propose a methodology that can efficiently measure the Value-at-Risk (VaR) of large portfolios with time-varying volatilities and correlations by bringing together the established historical simulation framework and recent contributions to the Dynamic Factor Models literature. We find that...

We measure the liquidity profile of open-end mutual funds using the sensitivity of their daily returns to aggregate liquidity. We study how this sensitivity changes around real-activity macroeconomic announcements that reveal large surprises about the state of the economy and after three...