The liquidity-risk tag has no wiki summary.
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65 views
Quantitative risk management strategy for a large participant in an illiquid market
Are there any practical quantitative risk management strategies for a large participant in an illiquid market with a few dominant players? By a large partcipant I mean someone who
has significant ...
4
votes
2answers
115 views
which product supports Basel III LCR (liquidity coverage ratio) reporting?
After Jan 2013 change, now the main reporting changes requested from Basel III is LCR, Liquidity Coverage Ratio.
Moody's has a product named RiskAuthority (previously Fermat CAD) that is going to ...
7
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0answers
81 views
Regression in liquidity risk model of Jarrow/Protter
In the paper "Liquidity Risk and Risk Measure Computation" authors describe a linear supply curve model for liquidity risks in presence of market
impact, i.e. impact-affected asset price $S(t,x)$ is ...
1
vote
2answers
84 views
Liquidity in a market risk model based on historical simulation
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 ...
