Market liquidity risk: an overview

Arbeitspapier

Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment of liquidity risk is still under development. This paper provides an overview on important aspects of market liquidity and its risk. We also survey existing models to integrate market liquidity risk into risk frameworks. We place special emphasis on practical usability and discuss relevant strengths, weaknesses and their implications.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2009-04

Classification and Topics

• Classification: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; General Financial Markets: Government Policy and Regulation ; Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
• Subject: asset liquidity ; liquidity cost ; price impact ; Xetra liquidity measure (XLM) ; risk measurement ; Value-at-Risk, market liquidity risk ; overview ; Finanzmarkt ; Gesamtwirtschaftliche Liquidität ; Liquiditätseffekt ; Marktrisiko ; Risikomaß ; Finanzierungstheorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Stange, Sebastian ; Kaserer, Christoph
• Event: Veröffentlichung
• (who): Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS)
• (where): München
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/48415
• Last update: 10.03.2025, 11:44 AM CET