Economics with Market Liquidity Risk

Market liquidity risk : an overview

Essays on Stock Market Liquidity and Liquidity Risk Premium

..............................................................................................................................v Chapter One: Introduction ...................................................................................................1 Chapter Two: Liquidity, Macro Factors and the U.S. Equity Flows to Emerging Markets 3

Measuring Market Liquidity Risk - Which Model Works

Russia/ltcm and Market Liquidity Risk

As recounted by Stefan Walter in the last issue of "The Financial Regulator" (Walter 1999), whereas the Russia/LTCM crisis of 1998 raised a number of significant regulatory concerns (see also Basel Committee 1999), the real danger arose from the market liquidity failure in what are traditionally the most liquid markets in the world, namely those in the US. This article seeks to complement that ...

Liquidity-adjusted Market Risk Measures with Stochastic Holding Period

Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a ‘liquidity-adjusted risk measure’ characterized by the absence of a fixed time horizon. The underlying assumption is that due to changes on market liquidity conditions one operates along an ‘operational time’ to which the P&L process of liquidating a...