Liquidity Risk Measurement and Management

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

In this paper, we introduced the liquidity risk measures. The coherent risk measure introduced by Artzner[1] does not include the liquidity effects. That is the trading amount is so large that it will affect the market price. In this situation, the positive homogeneityaxiom will no longer hold. So we set up a new axioms system to deal with liquidity effects. We call it the liquidity risk measure. In addition, we found the acceptance sets and established the relationship between the liquidity risk measures and the acceptance sets. We also developed appropriate liquidity risk measures for multi-asset portfolios

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References

1999Coherent Measures of Risk 2007Brownian Motion and Stochastic Calculus 2005Stochastic Integration and Differential Equations 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2002Convex measures of risk and trading constraints 2012A Simple Way to Estimate Bid‐Ask Spreads from Daily High and Low Prices 2004Dynamic coherent risk measures 2002Conditional value-at-risk: optimization algorithms and applications

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2011When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour 2012Liquidity Risk, Cash-Flow Constraints and Systemic Feedbacks 2014Bank Liquidity and Financial Performance: Evidence from Moroccan Banking Industry 2015Determinants of liquidity risk in commercial banks in the European Union 2013Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks 2022Liquidity indicators, early warning signals in banks, and financial crises

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