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Measuring Market Liquidity Risk - Which Model Works Best? · Study

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PreprintMeasuring Market Liquidity Risk - Which Model Works Best?

Cornelia Ernst2009

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Preprintgreen2009

Measuring Market Liquidity Risk - Which Model Works Best?

Cornelia Ernst · Sebastian Stange · Christoph Kaserer

22 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1995Techniques for Verifying the Accuracy of Risk Measurement Models 2001Optimal execution of portfolio transactions 2003Optimal execution with nonlinear impact functions and trading-enhanced risk 1988Breaking the Silence 2001The Liquidity Discount 2001Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management 2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread 2007Execution Risk

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2017An application of extreme value theory in estimating liquidity risk 2012Accounting for nonnormality in liquidity risk

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008The Impact of Order Size on Stock Liquidity - A Representative Studypreprint · 5 shared references 2008The Components of the Bid‐Ask Spread: the Case of the Athens Stock Exchangearticle · 4 shared references 2016Adaptive basket liquidationarticle · 4 shared references 2012Accounting for nonnormality in liquidity riskarticle · 4 shared references 2015Dynamic Thin Marketsarticle · 3 shared references 2006Liquidity adjusted value-at-risk based on the components of the bid-ask spreadarticle · 3 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1328480

openalex_workW2113858036

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