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Measuring Market Liquidity Risk - Which Model Works Best?
14 references·2 citing·44 second hop
Measuring Market Liquidity Risk - Which Model Works Best? (2009)Measuring Market Liquidity Risk - Which M…Execution Risk (2007)Execution RiskMarket liquidity and its incorporation into risk management (2006)Market liquidity and its inco…Liquidity adjusted value-at-risk based on the components of the bid-ask spread (2006)Liquidity adjusted value-at-r…How large is liquidity risk in an automated auction market? (2005)How large is liquidity risk i…Optimal execution with nonlinear impact functions and trading-enhanced risk (2003)Optimal execution with nonlin…Integrating Liquidity Risk in a Parametric Intraday VaR Framework (2002)Integrating Liquidity Risk in…How Large is Liquidity Risk in an Automated Auction Market? (2002)How Large is Liquidity Risk i…The Liquidity Discount (2001)The Liquidity DiscountOptimal execution of portfolio transactions (2001)Optimal execution of portfoli…Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management (2001)Modeling Liquidity Risk, with…Research Toward the Practical Application of Liquidity Risk Evaluation Methods (2000)Research Toward the Practical…Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Ethiopia and the Middle East (1995)Ethiopia and the Middle EastBreaking the Silence (1988)Breaking the SilenceAn application of extreme value theory in estimating liquidity risk (2017)An application of extreme val…Accounting for nonnormality in liquidity risk (2012)Accounting for nonnormality i…The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Bank Runs, Deposit Insurance, and Liquidity (1983)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity shortages: theoretical underpinnings (2008)Measuring Market Risk Under the Basel Accords: VaR, Stressed VaR, and Expected Shortfall (2013)The Financial Stress Index: Identification of Systemic Risk Conditions (2015)Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Dynamic Trading with Predictable Returns and Transaction Costs (2013)Coherent Measures of Risk (1999)Direct Estimation of Equity Market Impact (2005)Risk aversion and the dynamics of optimal liquidation strategies in illiquid markets (2008)Optimal execution strategies in limit order books with general shape functions (2009)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Stochastic Differential Equations: An Introduction with Applications. (1987)Dynamic Asset Pricing Theory. (1993)An introduction to market risk measurement (2002)Dynamic trading policies with price impact (2004)A model of optimal portfolio selection under liquidity risk and price impact (2006)Optimal control of execution costs (1998)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)The Risks of Financial Institutions (2005)The Risks of Financial Institutions (2005)The Risks of Financial Institutions (2007)The Econometrics of Financial Markets (2012)A Theory of Intraday Patterns: Volume and Price Variability (1988)Asset pricing with downside liquidity risks (2015)Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach (2019)Multivariate portfolio optimization under illiquid market prospects: a review of theoretical algorithms and practical techniques for liquidity risk management (2020)An Intertemporal Capital Asset Pricing Model (1973)Asset pricing and the bid-ask spread (1986)Intra-daily volume modeling and prediction for algorithmic trading (2011)Liquidating illiquid collateral (2013)Parameter Uncertainty in Multiperiod Portfolio Optimization with Transaction Costs (2015)The Personal is Political: Developing new subjectivities through participatory action research (2007)Tip of the Iceberg: Reporting and Gender-Based Violence in Developing Countries (2013)“What is Critical Whiteness Doing in OUR Nice Field like Critical Race Theory?” Applying CRT and CWS to Understand the White Imaginations of White Teacher Candidates (2014)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR (2012)Financial Network Systemic Risk Contributions (2014)Threats to Cultural Monument in Ethiopia: Based on Evidences of Causes and Problems of Some Forgotten Rock-cut Churches (2019)
this work references cited by second hop

References

  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2003Optimal execution with nonlinear impact functions and trading-enhanced risk466 cited
  • 1988Breaking the Silence358 cited
  • 2001The Liquidity Discount138 cited
  • 2001Modeling Liquidity Risk, with Implications for Traditional Market Risk Measurement and Management114 cited
  • 2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread76 cited
  • 2007Execution Risk75 cited
  • 1995Ethiopia and the Middle East61 cited
  • 2006Market liquidity and its incorporation into risk management60 cited
  • 2000Research Toward the Practical Application of Liquidity Risk Evaluation Methods50 cited
  • 2005How large is liquidity risk in an automated auction market?42 cited
  • 2002Integrating Liquidity Risk in a Parametric Intraday VaR Framework25 cited
  • 2002How Large is Liquidity Risk in an Automated Auction Market?22 cited

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  • 2017An application of extreme value theory in estimating liquidity risk19 cited

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2012
Accounting for nonnormality in liquidity risk
19 cited