Market liquidity risk measurement and adjusted VaR
Pasqualina Porretta and
Francesco Giannone
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Francesco Giannone: Università di Roma «La Sapienza»
BANCARIA, 2016, vol. 10, 14-43
Abstract:
The international financial crises is also an illiquidity of securities and financial markets crises. This has given rise to market liquidity risk that is something different and more than «pure market risk» that asks financial intermediaries to be properly measured and managed. In this perspective, the paper aims: a) to compare the Liquidity Adjusted VaR methodologies and b) to apply the Meucci model's on equity securities portfolio to measure the market liquidity risk and pure market risk in the presence of different levels of diversification, liquidity strategies, market's periods
JEL-codes: G12 G20 G32 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:ban:bancar:v:10:y:2016:m:october:p:14-43
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