Models and methods of estimation of level of liquidity of high-risck assets

D. A. Bystrova () and E. V. Topekha ()

Scientific notes of the Russian academy of entrepreneurship, vol. 17, issue 1

Abstract: The content of the concept, models and numerical methods for assessing the liquidity of a financial asset included in the portfolio of a non-institutional investor agent of the Russian stock market is considered. For this group of investors, liquidity is just as important as profitability and risk. It is suggested that liquidity should be recorded during the pre-selection stage of securities included in the portfolio, which implies the accuracy of estimates and the correctness of accounting for the liquidity of financial assets and, in the first place, highly risky (stocks). Based on the most significant properties of the liquidity phenomenon, a modified algorithm for estimating the level of liquidity is proposed, the distinguishing feature of which is the adequacy of the current realities of the stock market and the relative ease of use.

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