Measuring market liquidity risk - which model works best?
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- Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2012. "Measuring market liquidity risk - which model works best?," Journal of Financial Transformation, Capco Institute, vol. 35, pages 133-146.
References listed on IDEAS
- Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998.
"Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management,"
New York University, Leonard N. Stern School Finance Department Working Paper Seires
99-062, New York University, Leonard N. Stern School of Business-.
- Anil Bangia & Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management," Center for Financial Institutions Working Papers 99-06, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Umut Çetin & Robert A. Jarrow & Philip Protter, 2008. "Liquidity risk and arbitrage pricing theory," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 8, pages 153-183 World Scientific Publishing Co. Pte. Ltd..
- Bervas, A., 2006. "Market liquidity and its incorporation into risk management," Financial Stability Review, Banque de France, issue 8, pages 63-79, May.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Becchetti, L. & Ferrari, M. & Trenta, U., 2014.
"The impact of the French Tobin tax,"
Journal of Financial Stability,
Elsevier, vol. 15(C), pages 127-148.
- Leonardo Becchetti & Massimo Ferrari & Ugo Trenta, 2013. "The impact of the French Tobin tax," CEIS Research Paper 266, Tor Vergata University, CEIS, revised 01 Mar 2013.
- Leonardo Becchetti & Massimo Ferrari, 2013. "The impact of the French Tobin tax," Econometica Working Papers wp47, Econometica.
- Becchetti, Leonardo & Ferrari, Massimo & Trenta, Ugo, 2013. "The impact of the French Tobin tax," AICCON Working Papers 118-2013, Associazione Italiana per la Cultura della Cooperazione e del Non Profit.
- repec:wsi:ijfexx:v:02:y:2015:i:03:n:s2424786315500334 is not listed on IDEAS
- Strašek Sebastjan & Bricelj Bor, 2016. "Spread and Liquidity Issues: A markets comparison," Naše gospodarstvo/Our economy, De Gruyter Open, vol. 62(1), pages 3-11, March.
- Holmberg, Ulf, 2012. "Essays on Credit Markets and Banking," Umeå Economic Studies 840, Umeå University, Department of Economics.
More about this item
Keywordsasset liquidity; liquidity cost; price impact; Xetra liquidity measure (XLM); risk measurement; Value-at-Risk; market liquidity risk;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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