Motivated by the modeling of liquidity risk in fund management in a dynamic setting, we propose and investigate a class of time series models with generalized Pareto marginals: the autoregressive generalized Pareto process (ARGP), a modified ARGP (MARGP) and a thresholded ARGP (TARGP). These...

We explicitly show what should be taken into account when the liquidity measure Liquidity at Risk (LaR) is applied to mutual funds. We adapt the LaR such that it is able to cover certain issues arising when dealing with fund redemption data from the real world and give guidelines what has to be...