I would like to model liquidity effects in my risk model which is based on historical simulation. I would like to develop a practical solution that still captures liquidity effects. Most probably I have to treat equity markets and bonds markets separately but finally I would like to be able to apply some procedure for all assets in my multi-asset universe.
For stocks: historical simulation here is based on historical returns from market prices (taking into account capital changes and so on). What can I add here to either incorporate liquidity as an additional factor or to attribute parts of the return to liquidity risk.
For bonds: historical simulation here is based on zero-rate-curves and spreads mainly. What can I add here?
I am looking forward to an enlightening discussion. References and personal experiences are most welcome.