effects from insufficient market liquidity. A typical method to manage these price impact effects is to split a given order …

We present a general framework for measuring the liquidity risk. The theoretical framework defines risk measures that … incorporate the liquidity risk into the standard risk measures. We consider a one-period risk measurement model. The liquidity …

This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided … into three dimensions. The first dimension covers liability liquidity risk (or funding liquidity) modeling, the second … dimension focuses on asset liquidity risk (or market liquidity) modeling, and the third dimension considers the asset …

sum of two risks, deal risk and liquidity risk, as a measure of deal risk alone. We employ a forward looking measure of … liquidity risk – the VIX – and we show that arbitrageurs' ‘abnormal' returns are higher when liquidity risk is higher. Thus …, observed risk-arbitrage spreads compensate arbitrageurs for liquidity risk and deal failure risk. We conclude that the risk in …