garp16-p2-19
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Liquidity Adjusted VAR
A trader observes a quote for stock DUY, and the midpoint of its current best bid and best ask prices is CAD 45. DUY has an estimated daily return volatility of 0.38% and average bid-ask spread of CAD 0.14. Using the constant spread approach on a 20,000 share position and assuming the returns of...- nitin3000
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- garp16-p2-19 liquidity-adjusted-var
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- Forum: P2.T8. Liquidity and Treasury Risk (15%)