liquidity-trading-risk
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P2.T8.20.2. Liquidity-adjusted value at risk (LVaR) (Hull Ch.24)
Learning objective: Explain and calculate liquidity trading risk via cost of liquidation and liquidity-adjusted VaR (LVaR). Questions: 20.2.1. A portfolio holds 100,000 shares of a stock and this single position has a value of $3.0 million. The stock is quoted bid $29.00, offer $31.00. The...- Nicole Seaman
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- liquidation-cost liquidity-adjusted-value-at-risk liquidity-trading-risk lvar
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- Forum: FRM® Practice Questions
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P2.T8.20.1. Liquidity trading cost (Hull Ch.24)
Learning objective: Explain and calculate liquidity trading risk via cost of liquidation and liquidity-adjusted VaR (LVaR). Questions: 20.1.1. An asset that is not very liquid is quoted bid $89.00, offer $96.00. Which is nearest to the proportional bid-offer spread? a. 0.0378 b. 0.0757 c...- Nicole Seaman
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- liquidation liquidity-adjusted-value-at-risk liquidity-trading-cost liquidity-trading-risk
- Replies: 0
- Forum: FRM® Practice Questions