Approaches to quantify liquidity risk quantification. England, GB, University of Southampton
(Discussion Papers in Accounting & Finance AF-10-04).
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The paper considers two approaches in quantifying liquidity risk. It looks at the differential between the quoted bond spread of an entity and the government Treasury bond / swap rates in relation to the corresponding CDS spreads. The paper also considers a stochastic modelling approach to quantify liquidity risk and looks at the possibility of generating a Liquidly at Risk (LAR) distribution, similar to a more traditional value at risk analysis
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