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dc.contributor.authorStange, Sebastianen
dc.contributor.authorKaserer, Christophen
dc.date.accessioned2011-07-18T08:59:48Z-
dc.date.available2011-07-18T08:59:48Z-
dc.date.issued2008-
dc.identifier.urihttp://hdl.handle.net/10419/48441-
dc.description.abstractWe integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using a unique, representative data set provided by Deutsche Boerse AG, we find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for liquid DAX stocks. We also show that the common approach of simply adding liquidity risk to price risk substantially overestimates total risk because correlation between liquidity and price is neglected. Our results are robust with respect to changes in risk measure, to sample periods and to effects of portfolio diversification.en
dc.language.isoengen
dc.publisher|aTechnische Universität München, Center for Entrepreneurial and Financial Studies (CEFS) |cMünchenen
dc.relation.ispartofseries|aWorking Paper |x2008-10en
dc.subject.jelG11en
dc.subject.jelG12en
dc.subject.jelG18en
dc.subject.jelG32en
dc.subject.ddc330en
dc.subject.keywordasset liquidityen
dc.subject.keywordprice impacten
dc.subject.keywordweighted spreaden
dc.subject.keywordXetra Liquidity Measure (XLM)en
dc.subject.keywordValue-at-Risken
dc.subject.keywordmarket liquidity risken
dc.subject.stwWertpapierhandelen
dc.subject.stwBörsenkursen
dc.subject.stwRisikomaßen
dc.subject.stwMarktrisikoen
dc.titleWhy and how to integrate liquidity risk into a VaR-framework-
dc.typeWorking Paperen
dc.identifier.ppn587947276en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cefswp:200810en

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