Modeling Liquidity Risk With Implications for Traditional Market Risk Measurement and Management
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- 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.
References listed on IDEAS
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- Robert Jarrow, 2017. "Liquidity Risk," World Scientific Book Chapters, in: THE ECONOMIC FOUNDATIONS OF RISK MANAGEMENT Theory, Practice, and Applications, chapter 7, pages 59-68, World Scientific Publishing Co. Pte. Ltd..
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Cited by:
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- Timotheos Angelidis & Alexandros Benos, "undated". "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics.
- Mark Carey & René M. Stulz, 2007.
"The Risks of Financial Institutions,"
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National Bureau of Economic Research, Inc, number care06-1.
- Mark Carey & Rene M. Stulz, 2005. "The Risks of Financial Institutions," NBER Working Papers 11442, National Bureau of Economic Research, Inc.
- Carey, Mark & Stulz, Rene M., 2005. "The Risks of Financial Institutions," Working Paper Series 2005-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
- Luca Erzegovesi, 2002. "VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues," Alea Tech Reports 014, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
- Hisata, Yoshifumi & Yamai, Yasuhiro, 2000. "Research toward the Practical Application of Liquidity Risk Evaluation Methods," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 18(2), pages 83-127, December.
- Robert Engle & Robert Ferstenberg, 2006. "Execution Risk," NBER Working Papers 12165, National Bureau of Economic Research, Inc.
- 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.
- Ernst, Cornelia & Stange, Sebastian & Kaserer, Christoph, 2009. "Measuring market liquidity risk - which model works best?," CEFS Working Paper Series 2009-01, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- Stange, Sebastian & Kaserer, Christoph, 2008. "Why and how to integrate liquidity risk into a VaR-framework," CEFS Working Paper Series 2008-10, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS).
- Panetta, I. C. & Porretta, P., 2009. "Il rischio di liquidità: regolamentazione e best practice [Liquidity Risk: Supervisory Models and Best Practices]," MPRA Paper 36358, University Library of Munich, Germany.
- Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.
- Didier Cossin & Zhijiang Huang & Daniel Aunon-Nerin & Fer nando González, 2002. "A Framework for Collateral Risk Control Determination," FAME Research Paper Series rp61, International Center for Financial Asset Management and Engineering.
- Christian A.Johnson, 2001.
"Value at risk: teoría y aplicaciones,"
Estudios de Economia, University of Chile, Department of Economics, vol. 28(2 Year 20), pages 217-247, December.
- Christian A. Johnson, 2002. "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile 136, Central Bank of Chile.
- Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
- Pierre Giot & Joachim Grammig, 2006.
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- GIOT, Pierre & GRAMMIG, Joachim, 2002. "How large is liquidity risk in an automated auction market ?," LIDAM Discussion Papers CORE 2002054, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & GRAMMIG, Joachim, 2006. "How large is liquidity risk in an automated auction market?," LIDAM Reprints CORE 1846, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Pierre Giot & Joachim Grammig, 2002. "How large is liquidity risk in an automated auction market?," University of St. Gallen Department of Economics working paper series 2002 2002-23, Department of Economics, University of St. Gallen.
- Mr. Michael G. Papaioannou, 2006. "A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager," IMF Working Papers 2006/195, International Monetary Fund.
- Roger Walder, 2002. "Dynamic Allocation of Treasury and Corporate Bond Portfolios," FAME Research Paper Series rp64, International Center for Financial Asset Management and Engineering.
- Strašek Sebastjan & Bricelj Bor, 2016. "Spread and Liquidity Issues: A markets comparison," Naše gospodarstvo/Our economy, Sciendo, vol. 62(1), pages 3-11, March.
- Mark Carey & Rene M. Stulz, 2007. "Introduction to "The Risks of Financial Institutions"," NBER Chapters, in: The Risks of Financial Institutions, pages 1-25, National Bureau of Economic Research, Inc.
- Harish Kamal & Samit Paul, 2024. "Liquidity‐adjusted value‐at‐risk using extreme value theory and copula approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(6), pages 1747-1769, September.
- Al Janabi, Mazin A. M., 2009. "Asset Market Liquidity Risk Management: A Generalized Theoretical Modeling Approach for Trading and Fund Management Portfolios," MPRA Paper 19498, University Library of Munich, Germany.
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