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Title:Market liquidity risk: an overview PDF Logo
Authors:Stange, Sebastian
Kaserer, Christoph
Issue Date:2009
Series/Report no.:CEFS working paper series 2009-04
Abstract:Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment of liquidity risk is still under development. This paper provides an overview on important aspects of market liquidity and its risk. We also survey existing models to integrate market liquidity risk into risk frameworks. We place special emphasis on practical usability and discuss relevant strengths, weaknesses and their implications.
Subjects:asset liquidity
liquidity cost
price impact
Xetra liquidity measure (XLM)
risk measurement
Value-at-Risk, market liquidity risk
overview
JEL:G11
G12
G18
G32
Document Type:Working Paper
Appears in Collections:CEFS Working Paper Series, Center for Entrepreneurial and Financial Studies, Technische Universität München

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