Modeling Liquidity Risk with Implications for Traditional Market Risk Measurement and Management

By A. Bangia, Francis X. Diebold, Til Schuermann, J. Stroughair. 2008

176 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/17668d554ce46e1d3163c2888802fbcf2d94a520

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In Finance

1. Carol Alexander
2. Elizabeth Sheedy
3. Gregor N. F. Weiß
4. Matthias R. Fengler

Citations in the corpus

• Developing a stress testing framework based on market risk models (2008, background): “Other researchers (see Bangia et al., 2002; Deuskar, 2006) have also noted this relationship. Jarrow and Subramanian (1997) were among the first to estimate liquidity-adjusted VaR (LA-VaR), taking account of the expected execution lag in closing a position and the market impact of prices being adver”
• Forecasting Liquidity-Adjusted Intraday Value-at-Risk with Vine Copulas (2013, unknown): “Although standard VaR lacks a rigorous consideration of liquidity risk, several extensions to certain forms of Liquidity-Adjusted VaRs (L-VaR) have been proposed in the literature (see e.g. Berkowitz, 2000; Bangia et al., 2002; Qi and Ng, 2009).”