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I've recently been given a project which came with some documentation. In this documentation is a bullet point that reads:

  • Liquidity Risk in Equity, Credit and Vol

I'm unsure as to whether vol is referring to volume or volatility and the only clues I have are database queries and table names:

  • Query LiquidityVolDelete & Query MakeLiquidityVolRisk affect the LiquidityVolRisk table.

EDIT

I can't access the query to see the variables (it's poorly designed and I'm refused access on these grounds), However the columns in the table are as follows:

Strategy, ProductType, Vega($), Maturity, RegionFinal, Ticker, EquityRiskName, BandOK, TypeLiquidity, MinMaturity(in Years), PctVol

However, not knowing much about about finance at all, I'm still none the wiser.

If anyone could help me with this, it would be most appreciated!

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  • $\begingroup$ Hi @Supergoat21 and welcome to quant.SE! Could you explain better the question by illustrating what are the variables of the database, please? $\endgroup$ – Quantopik May 14 '15 at 9:36
  • $\begingroup$ @Quantopic I've made an edit to my post, hope this helps! $\endgroup$ – Supergoat21 May 14 '15 at 11:00
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The variable surely should be the percentage volatility.

Moreover, it should not be the asset volume, because the volume can be interpreted as liquidity risk proxy measure too, and, so, it should be participated in the TypeLiquidity variable (or variables set).

See, for instance, at:

Fong, Kingsley YL, Craig W. Holden, and Charles Trzcinka. "What are the best liquidity proxies for global research?." Available at SSRN 1558447 (2014).

We can give you more information if you post the variables label too.

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  • $\begingroup$ So, in a nutshell, the bullet point should read "Liquidity Risk in Equity, Credit and Volatility"? $\endgroup$ – Supergoat21 May 14 '15 at 11:52
  • $\begingroup$ Yes @Supergoat21! I, personally, interpreted in that way and I do not see other answers to your question. $\endgroup$ – Quantopik May 14 '15 at 11:54
  • $\begingroup$ You're welcome @Supergoat21 $\endgroup$ – Quantopik May 14 '15 at 12:23

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