Arbeitspapier
Why and how to integrate liquidity risk into a VaR-framework
We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using a unique, representative data set provided by Deutsche Boerse AG, we find liquidity risk to increase traditionally-measured price risk by over 25%, even at standard 10-day horizons and for liquid DAX stocks. We also show that the common approach of simply adding liquidity risk to price risk substantially overestimates total risk because correlation between liquidity and price is neglected. Our results are robust with respect to changes in risk measure, to sample periods and to effects of portfolio diversification.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2008-10
- 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
price impact
weighted spread
Xetra Liquidity Measure (XLM)
Value-at-Risk
market liquidity risk
Wertpapierhandel
Börsenkurs
Risikomaß
Marktrisiko
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Stange, Sebastian
Kaserer, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS)
- (wo)
-
München
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Stange, Sebastian
- Kaserer, Christoph
- Technische Universität München, Center for Entrepreneurial and Financial Studies (CEFS)
Entstanden
- 2008
Ähnliche Objekte (12)
Why integrate? Service expectations in an online University world.
Why does overnight liquidity cost more than intraday liquidity?
Integrate entrepreneurial initiative into vocational education and training!
Integrate Action Formalisms into Linear Temporal Description Logics
Optimal execution strategy in liquidity framework
Collateral framework: liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria
A metamodel to integrate control objectives into viewpoints for EA management
How can governments help small enterprises integrate into global value chains?
Integrating evidence, norms and values into guideline and other health decisions: the WHO-INTEGRATE evidence to decision framework version 1.0
Why should we integrate income and employment support? A conceptual and empirical investigation
Why integrate? Service expectations in an online University world.
Why does overnight liquidity cost more than intraday liquidity?
Integrate entrepreneurial initiative into vocational education and training!
Integrate Action Formalisms into Linear Temporal Description Logics
Optimal execution strategy in liquidity framework
Collateral framework: liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria
A metamodel to integrate control objectives into viewpoints for EA management
How can governments help small enterprises integrate into global value chains?
Integrating evidence, norms and values into guideline and other health decisions: the WHO-INTEGRATE evidence to decision framework version 1.0
Why should we integrate income and employment support? A conceptual and empirical investigation
Why integrate? Service expectations in an online University world.
Why does overnight liquidity cost more than intraday liquidity?
Integrate entrepreneurial initiative into vocational education and training!
Integrate Action Formalisms into Linear Temporal Description Logics
Optimal execution strategy in liquidity framework
Collateral framework: liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria
Collateral framework: Liquidity premia and multiple equilibria
A metamodel to integrate control objectives into viewpoints for EA management
How can governments help small enterprises integrate into global value chains?
Integrating evidence, norms and values into guideline and other health decisions: the WHO-INTEGRATE evidence to decision framework version 1.0