期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2002
卷号：2002
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：We introduce a new empirical methodology that takes account of liquidity risk
in a Value-at-Risk framework, and quantify liquidity risk premiums for portfolios
and individual stocks traded on the automated auction market Xetra which oper-
ates at various European exchanges. When constructing liquidity risk measures we
allow for the potential price impact incurred by the liquidation of a portfolio. We
study the sensitivity of liquidity risk towards portfolio size and VaR time horizon,
and interpret its diurnal variation in the light of market microstructure theory.
