liquidity-adjusted var

  1. Nicole Seaman

    P2.T7.807. Estimating liquidity-adjusted value at risk (LVaR) (Dowd)

    Learning objectives: Define liquidity risk and describe factors that influence liquidity, including the bid-ask spread. Differentiate between exogenous and endogenous liquidity. Describe the challenges of estimating liquidity-adjusted VaR (LVaR). Describe and calculate LVaR using the constant...
  2. Nicole Seaman

    P2.T7.511. Transaction liquidity risk and liquidity-adjusted VaR (Malz)

    Learning outcomes: Identify the main sources of transactions liquidity risk. Calculate the expected transactions cost and the 99 percent spread risk factor for a transaction. Calculate the liquidity-adjusted VaR for a position to be liquidated over a number of trading days. Questions: 511.1...