Völker, Florian; Cremers, Heinz; Panzer, Christof - 2012
Most traditional Value at Risk models neglect market liquidity risk and hence only consider the market price risk (i … (exogenous / endogenous). We then present and evaluate different liquidity-adjusted Value at Risk models which capture one or … Risk ; Market Liquidity Risk ; Market Microstructure ; Liquidityadjusted Value-at-Risk ; Basel III ; Liquidity Coverage …