Journal of
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Forum | Papers » Market liquidity risk measurement and adjusted VaR

Market liquidity risk measurement and adjusted VaR

Pasqualina Porretta, Francesco Giannone
October 2016 - n. 10
Jel codes: G12, G20, G32

The international financial crises is also an illiquidity of securities and financial markets crises. This has given rise to market liquidity risk that is something different and more than «pure market risk» that asks financial intermediaries to be properly measured and managed. In this perspective, the paper aims: a) to compare the Liquidity Adjusted VaR methodologies and b) to apply the Meucci model's on equity securities portfolio to measure the market liquidity risk and pure market risk in the presence of different levels of diversification, liquidity strategies, market's periods.

 

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