measure as a measure of market risk. The lack of a liquidity parameter in methodologies used to compute VaR significantly … liquidity risk on market risk assessment, which is obtained by using VaR. The most frequently used technique for VaR estimation … assessment of potential loss, especially in emerging markets, and enables investors to detect the liquidity risk and its effect …

. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … also when taking liquidity considerations into account there is always a stable way to allocate risk. …Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …

. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity … also when taking liquidity considerations into account there is always a stable way to allocate risk. …Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions …

. To mitigate this liquidity risk, CCPs often require members to post additional collateral to the initial margin, in the …-ons, this paper discusses the different approaches to incorporating market liquidity risk within a CCP's default waterfall and …

problem. Equipped with the new portfolio theory, we can quantify market liquidity risk and introduce a new market risk measure …The main aim of the thesis is to formulate a concept of liquidity risk and to incorporate liquidity risk in market risk … measurement. We first review two types of liquidity risk and the relation between liquidity risk and market risk. To achieve our …

We revisit the role of liquidity risk. We successfully replicate Pastor and Stambaugh's (2003) gamma liquidity risk … compensation for liquidity risk. We create five alternative liquidity risk indices from various popular liquidity proxies. Using … index and, within their time period, concur with their risk premium estimate. An out-of-their-time-period analysis finds …