. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … also when taking liquidity considerations into account there is always a stable way to allocate risk. …Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …

. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … also when taking liquidity considerations into account there is always a stable way to allocate risk. …Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …

liquidity in terms of spread, depth, order imbalance, dispersion and slope. We also consider trading activity and volatility …In this paper, we determine whether intraday price dynamics observed on Euronext help characterize market liquidity in … measures. Based on an event study methodology, we find that particular HLOC configurations are associated with higher liquidity …

A unified explanation of risk and mispricing in stock returns underpinned by their aggregate liquidity risk is … liquidity risk or betting on it. A three-factor model capturing these return variations is developed. Results show that our … liquidity risk hedging. The imposition of stringent temporal restrictions on competing factor models shows that our model leads …

-mediation? We propose a measure of bond's mis-allocation among dealers and show its correlation with bond's liquidity risk which is … higher mis-allocation is associated with a higher magnitude of liquidity risk. A search-match model with dealers' endogenous …

We study the conditional distribution of future liquidity in the secondary market for corporate bonds as a function of … current liquidity. Increases in liquidity are persistent for investment-grade bonds and flighty for high-yield bonds. Greater … liquidity of high-yield bonds is associated with lower uncertainty about future liquidity of investment-grade bonds, but greater …

Shortfall – PSF – uses option theory to solve the problem that, under any circumstance, the risk amount is never greater than …This paper derives two new improved risk metrics LAPVaR and LAPSF. Traditional VaRDeltaNormal valuation exaggerates … market and liquidity risks to the point it could be larger than the actual portfolio value. Put VaR – PVaR – as well as Put …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns’ quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

This study examined the asymmetric effects of major uncertainty and volatility indices (economic policy uncertainty …, Chicago Board Options Exchange crude oil volatility, CBOE volatility index, CBOE VIX volatility, and NASDAQ 100 volatility … petroleum). The causalityin-quantiles test and the quantile-on-quantile regression technique were employed on daily data …