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  • 标题:How large is liquidity risk in a automated auction market?
  • 本地全文:下载
  • 作者:Pierre GIOT ; Joachim GRAMMIG
  • 期刊名称:CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
  • 出版年度:2002
  • 卷号:2002
  • 出版社:Center for Operations Research and Econometrics (UCL), Louvain
  • 摘要:We introduce a new empirical methodology that takes account of liquidity risk in a Value-at-Risk framework, and quantify liquidity risk premiums for portfolios and individual stocks traded on the automated auction market Xetra which oper- ates at various European exchanges. When constructing liquidity risk measures we allow for the potential price impact incurred by the liquidation of a portfolio. We study the sensitivity of liquidity risk towards portfolio size and VaR time horizon, and interpret its diurnal variation in the light of market microstructure theory.
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