. This risky situation is unlike default risk whose maximum values are limited by the amount of credit granted. For example …

This paper develops a high-frequency risk measure, the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective … the dynamics of frictionless and actual returns, and to quantify the risk related to the liquidity premium. From a … practical perspective, our model can be used not only to identify the impact of ex-ante liquidity risk on total risk, but also …