Risk measuring under liquidity risk

Measuring Market Liquidity Risk - Which Model Works

Risk Management with Options and Futures under Liquidity Risk

Managing price risk with futures contracts creates liquidity risk through marking to market. Liquidity risk matters in an imperfect capital market where interim losses on a futures position have to be financed at a borrowing rate that is higher than the risk-free rate. However, the impact of liquidity risk can be mitigated using options on futures. This paper analyzes the optimal risk managemen...

Measuring Liquidity Risk Management and Impact on Bank Performance in Iran

A bank as a business units needs to have liquid assets which can be easily converted into cash at short notice. Thus the concept of liquidity risk management is important for any commercial banks. The impact of liquidity position in management of banks have remained significant, though very elusive in the process of investment analysis vis-à-vis bank portfolio management. In addition, liquidity...

Liquidity Risk and Correlation Risk :

The GM and Ford downgrade to junk status during May 2005 caused a wide-spread sell-off in their corporate bonds. Using a novel dataset, we document that this sell-off appears to have generated significant liquidity risk for market-makers, as evidenced by a significant imbalance in their quotes towards sales. We also document that simultaneously, there was excess comovement in the fixed-income s...

Volume, liquidity, and liquidity risk ¬リニ

Many classes of microstructure models, as well as intuition, suggest that it should be easier to trade when markets are more active. In the data, however, volume and liquidity seem unrelated over time. This paper offers an explanation for this fact based on a simple frictionless model in which liquidity reflects the average risk-bearing capacity of the economy and volume reflects the changing c...