Integration des Marktliquiditätsrisikos in das Risikoanalysekonzept des Value at Risk

Research, Preprint OPEN
Völker, Florian; Cremers, Heinz; Panzer, Christof;
(2012)
  • Publisher: Frankfurt a. M.: Frankfurt School of Finance & Management
  • Subject: Liquid Assets | Basler Akkord | Marktliquidität | C14 | G32 | Basel III | C16 | G1 | C1 | D4 | Market Liquidity Risk | Market Microstructure | Market Risk,Market Liquidity Risk,Market Microstructure,Liquidity-adjusted Value-at-Risk,Basel III,Liquidity Coverage Ratio,Liquid Assets | Market Risk | Liquidity-adjusted Value-at-Risk | Risikomaß | Liquidity Coverage Ratio
    • jel: jel:C16 | jel:C14 | jel:G32 | jel:G1 | jel:C1 | jel:D4
      ddc: ddc:330

Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i.e. risk associated with holding a certain position). In order to fully capture the market risk associated to holding and trading a position, we first def... View more
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