transaction liquidity risk

  1. 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...
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