|  | |
| Identificatore numerico | 2069 |
| Identificatore completo | BangiaDieboldSchuermannStroughair99 |
| Autore/i | Bangia, A.; Diebold, F.X.; Schuermann, T.; Stroughair, J.D. |
| Anno | 1999 |
| Titolo | Modeling Liquidity Risk, With Implications for Traditional Market Risk Measurement and Management |
| Tipo di Pubblicazione | paper |
| Altre Informazioni | The Wharton School - University of Pennsylvania, Financial Institutions Center Working Paper Series, Philadelphia, 99-06 Web Download. |
| Keywords | Rischio di liquidità - |
| Abstract | Market risk management under normal conditions traditionally has focussed on the distribution of portfolio value changes resulting from moves in the mid-price. Hence the market risk is really in a "pure" form: risk in an idealized market with no "friction" in obtaining the fair price. However, many markets possess an additional liquidity component that arises from a trader not realizing the mid-price when liquidating her position, but rather the mid-price minus the bid-ask spread. We argue that liquidity risk associated with the uncertainty of the spread, particularly for thinly traded or emerging market securities under adverse market conditions, is an important part of overall risk and is therefore an important component to model. We develop a simple liquidity risk methodology based on quoted bid-ask spreads and their empirical distribution that can be easily and seamlessly integrated into standard value-at-risk models, and we show that ignoring the liquidity effect can produce underestimates of market risk in emerging markets by as much as 25-30%. By non monitoring liquidity risk explicitly, banks will be experiencing many violations of regulatory capital requirements. |
| Importanza | media |
 | |