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- W2037267410 abstract "We describe an extension to a Liquidity-Adjusted Value-at-Risk (LVaR) model originally developed by Bangia et al. (1999) that incorporates liquidity risk into the traditional VaR model using random bid–ask spreads. By applying the Hellinger distance measure, we show how the bid–ask spread can be partially endogenized by adjusting it to reflect the influence of trade size on prices and ultimately on the measurement of market risk." @default.
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- W2037267410 date "2011-11-01" @default.
- W2037267410 modified "2023-09-26" @default.
- W2037267410 title "Liquidity on the outside from the inside" @default.
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- W2037267410 doi "https://doi.org/10.1080/13504851.2011.554362" @default.
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