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| Identificatore numerico | 1620 |
| Identificatore completo | BangiaDieboldSchuermannStroughair99a |
| Autore/i | Bangia, A.; Diebold, F.X.; Schuermann, T.; Stroughair, J.D. |
| Anno | 1999 |
| Titolo | Liquidity on the Outside |
| Tipo di Pubblicazione | articolo |
| Altre Informazioni | in Risk, vol. 12, nr. 6, June, pagg. 68-73. |
| Keywords | Rischio di liquidità - |
| Abstract | Most attempts to quantity liquidity risk have focused on the market impact from the execution of trades for a given portfolio.
Among risk managers, however, there is a demand for portfolio-inidpendent measure that reflect market behaviour. The article proposes a simple extension to VaR, based on the empirical distribution of quoted bid-ask spreads. |
| Importanza | media |
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