IDEAS home Printed from https://ideas.repec.org/a/ban/bancar/v10y2016moctoberp14-43.html
   My bibliography  Save this article

Market liquidity risk measurement and adjusted VaR

Author

Listed:
  • Pasqualina Porretta

    (Università di Roma «La Sapienza»)

  • Francesco Giannone

    (Università di Roma «La Sapienza»)

Abstract

The international financial crises is also an illiquidity of securities and financial markets crises. This has given rise to market liquidity risk that is something different and more than «pure market risk» that asks financial intermediaries to be properly measured and managed. In this perspective, the paper aims: a) to compare the Liquidity Adjusted VaR methodologies and b) to apply the Meucci model's on equity securities portfolio to measure the market liquidity risk and pure market risk in the presence of different levels of diversification, liquidity strategies, market's periods

Suggested Citation

  • Pasqualina Porretta & Francesco Giannone, 2016. "Market liquidity risk measurement and adjusted VaR," BANCARIA, Bancaria Editrice, vol. 10, pages 14-43, October.
    • Handle: RePEc:ban:bancar:v:10:y:2016:m:october:p:14-43
    as

    Download full text from publisher

    File URL: http://www.bancaria.it/en/market-liquidity-risk-measurement-and-adjusted-var-2
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ban:bancar:v:10:y:2016:m:october:p:14-43. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Francesco Emiliano Tani (email available below). General contact details of provider: https://www.bancaria.it .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.