P1.T1.R5 Brunnemmeier - funding and market liquidity risk

[Branislav]

Dear David ,
I will kindly ask for help regarding this topic. Suppose if I want to quantify market and funding liquidity risk separately.
Under this my first taught is:
- for funding liquidity risk what will be PnL loss in case of utilizing expensive sources of funding ( suppose negative macroeconomic environment which led to unfavorable funding cosт
- for market liquidity risk what wiil be PnL los due to widening of bid-ask spread on market?
I addition to this would you be kind to address me to mos respective literature that is according your pinion more appropriate for learnning this topic?
Thanks a lot in advance

 

[Nicole Seaman]

Dear David ,
I will kindly ask for help regarding this topic. Suppose if I want to quantify market and funding liquidity risk separately.
Under this my first taught is:
- for funding liquidity risk what will be PnL loss in case of utilizing expensive sources of funding ( suppose negative macroeconomic environment which led to unfavorable funding cosт
- for market liquidity risk what wiil be PnL los due to widening of bid-ask spread on market?
I addition to this would you be kind to address me to mos respective literature that is according your pinion more appropriate for learnning this topic?
Thanks a lot in advance

Hello @Branislav

I just wanted to make sure that you were aware of our tag and search features. There are many threads regarding funding liquidity risk and market liquidity risk in the forum. With the exam getting so close, it is impossible for David to answer all of the questions that are asked in the forum. Because of this, we rely greatly on other members helping to answer questions and on the search and tag functions so members can look through the current threads to see if they can find the answers to their questions. I just don't want to see your question go unanswered, as the forum is EXTREMELY busy right now.

Nicole