Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/48415 
Erscheinungsjahr: 
2009
Schriftenreihe/Nr.: 
Working Paper No. 2009-04
Verlag: 
Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS), München
Zusammenfassung: 
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.
Schlagwörter: 
asset liquidity
liquidity cost
price impact
Xetra liquidity measure (XLM)
risk measurement
Value-at-Risk, market liquidity risk
overview
JEL: 
G11
G12
G18
G32
Dokumentart: 
Working Paper

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