Market risk, liquidity, liquidity risk, liquidity-adjusted VaR, constant spread approach, exogenous spread approach, liquidation strategies, endogenous price approach, liquidity discount approach, liquidity at risk, liquidity in crises
*** Excerpt from book ***
This chapter looks at liquidity issues and how they affect the estimation of market risk measures. Liquidity issues affect market risk measurement not just through their impact on our standard measures of market risk, but also because effective market risk management involves an ability to estimate and manage liquidity risk itself.We therefore need to be able to estimate liquidity risk – or liquidity at risk, if you will. Furthermore, since liquidity problems are particularly prominent in market crises, we also need to address how to estimate crisis-related liquidity risks.
14.1 Liquidity and liquidity risks
14.2 Estimating liquidity-adjusted VaR
14.3 Estimating liquidity at risk (LaR)
14.4 Estimating liquidity in crises
*** From the publisher ***
Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&A’s and case studies. The accompanying CD-ROM includes a Measuring Market Risk toolbox, with about 150 risk measurement functions, a manual and a selection of Excel workbooks illustrating basic risk measurement functions.