Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/66666 
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dc.contributor.authorVölker, Florianen
dc.contributor.authorCremers, Heinzen
dc.contributor.authorPanzer, Christofen
dc.date.accessioned2012-11-13-
dc.date.accessioned2012-11-21T13:10:37Z-
dc.date.available2012-11-21T13:10:37Z-
dc.date.issued2012-
dc.identifier.urihttp://hdl.handle.net/10419/66666-
dc.language.isogeren
dc.publisher|aFrankfurt School of Finance & Management |cFrankfurt a. M.en
dc.relation.ispartofseries|aFrankfurt School - Working Paper Series |x198en
dc.subject.jelC1en
dc.subject.jelC14en
dc.subject.jelC16en
dc.subject.jelD4en
dc.subject.jelG1en
dc.subject.jelG32en
dc.subject.ddc330en
dc.subject.keywordMarket Risken
dc.subject.keywordMarket Liquidity Risken
dc.subject.keywordMarket Microstructureen
dc.subject.keywordLiquidity-adjusted Value-at-Risken
dc.subject.keywordBasel IIIen
dc.subject.keywordLiquidity Coverage Ratioen
dc.subject.keywordLiquid Assetsen
dc.subject.stwRisikomaßen
dc.subject.stwMarktliquiditäten
dc.subject.stwBasler Akkorden
dc.titleIntegration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk-
dc.typeWorking Paperen
dc.identifier.ppn729607461en
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
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:fsfmwp:198en

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