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A stochastic programming model to minimize volume liquidity risk in commodity trading
Fragnière, Emmanuel; Markov, Iliya - In: Journal / The Capco Institute : journal of financial … 32 (2011), pp. 133-141
Persistent link: https://www.econbiz.de/10009629242
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Fair risk allocation in illiquid markets
Csóka, Péter - 2015
performance evaluation of the divisions. In this paper we use cooperative game theory and simulation to assess the possibility to …
Persistent link: https://www.econbiz.de/10010481803
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Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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The impact of systemic and illiquidity risk on financing with risky collateral
Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202
Persistent link: https://www.econbiz.de/10010486947
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Stock returns with consumption and illiquidity risks
Márquez De la Cruz, Elena; Nieto, Belén; Rubio, Gonzalo - In: International review of economics & finance : IREF 29 (2014), pp. 57-74
Persistent link: https://www.econbiz.de/10010431504
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Liquidity Risk?
Pontiff, Jeffrey - 2019
We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using …
Persistent link: https://www.econbiz.de/10012894394
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The pricing of the illiquidity factor’s conditional risk with time-varying premium
Amihud, Yakov; Noh, Joonki - In: Journal of financial markets 56 (2021), pp. 1-17
Persistent link: https://www.econbiz.de/10013282487
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Liquidity risk
Li, Larry - In: Commercial banking risk management : regulation in the …, (pp. 103-119). 2017
Persistent link: https://www.econbiz.de/10011607020
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Asset pricing with downside liquidity risks
Anthonisz, Sean A.; Putniņš, Tālis J. - In: Management science : journal of the Institute for … 63 (2017) 8, pp. 2549-2572
Persistent link: https://www.econbiz.de/10011741402
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Asset Pricing Anomalies – Liquidity Risk Spreaders or Liquidity Risk Hedgers?
Virk, Nader - 2020
A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … presented. We argue alternating liquidity exposures depict two distinct investment preferences-hedging against aggregate … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our …
Persistent link: https://www.econbiz.de/10012847658