endogenous-liquidity
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P2.T7.807. Estimating liquidity-adjusted value at risk (LVaR) (Dowd)
Learning objectives: Define liquidity risk and describe factors that influence liquidity, including the bid-ask spread. Differentiate between exogenous and endogenous liquidity. Describe the challenges of estimating liquidity-adjusted VaR (LVaR). Describe and calculate LVaR using the constant...- Nicole Seaman
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- bid-ask-spread endogenous-liquidity exogenous-liquidity liquidity-adjusted var liquidity-risk
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