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dc.contributor.authorVölker, Florianen_US
dc.contributor.authorCremers, Heinzen_US
dc.contributor.authorPanzer, Christofen_US
dc.publisherFrankfurt School of Finance & Management Frankfurt, M.en_US
dc.relation.ispartofseriesWorking Paper series, Frankfurt School of Finance & Management 198en_US
dc.subject.keywordMarket Risken_US
dc.subject.keywordMarket Liquidity Risken_US
dc.subject.keywordMarket Microstructureen_US
dc.subject.keywordLiquidity-adjusted Value-at-Risken_US
dc.subject.keywordBasel IIIen_US
dc.subject.keywordLiquidity Coverage Ratioen_US
dc.subject.keywordLiquid Assetsen_US
dc.subject.stwBasler Akkorden_US
dc.titleIntegration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risken_US
dc.typeWorking Paperen_US
dc.description.abstracttransMost traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first define market liquidity risk, its dimensions (tightness, depth, resiliency, immediacy) and causes (exogenous / endogenous). We then present and evaluate different liquidity-adjusted Value at Risk models which capture one or more dimensions of market liquidity risk and thereby present a more true view on the overall market risk. This paper also spotlights how Basel III regulation defines liquid assets, derived from the Liquidity Coverage Ratio (LCR) framework, and evaluates if this regulation adequately reflects market liquidity risk. We conclude that the LCR concept is flawed as the defined buckets of liquid assets do not reflect the true liquidity of certain assets. Furthermore it can be said that the defined buckets might result in heightened systematic risk as banks will focus on certain asset classes. Additionally the corporate fixed income sector might experience a crowding out as these assets will appear less rewarding to banks.en_US
Appears in Collections:Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management

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