Measuring market liquidity risk - which model works best?

Arbeitspapier

Market liquidity risk, the difficulty or cost of trading assets in crises, has been recognized as an important factor in risk management. Literature has already proposed several models to include liquidity risk in the standard Value-at-Risk framework. While theoretical comparisons between those models have been conducted, their empirical performance has never been benchmarked. This paper performs comparative back-tests of daily risk forecasts for a large selection of traceable liquidity risk models. In a 5.5 year stock sample we show which model provides most accurate results and provide detailed recommendations which model is most suitable in a specific situation.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 2009-01

Klassifikation und Themen

• Klassifikation: 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
• Thema: asset liquidity ; liquidity cost ; price impact ; Xetra liquidity measure (XLM) ; risk measurement ; Value-at-Risk ; market liquidity risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Ernst, Cornelia ; Stange, Sebastian ; Kaserer, Christoph
• Ereignis: Veröffentlichung
• (wer): Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS)
• (wo): München
• (wann): 2009

Weitere Informationen

• Handle: http://hdl.handle.net/10419/48418
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ