Liquidity at risk

Known as: LaR 
The Liquidity-at-Risk (short: LaR) is a quantity to measure financial risks and is the maximum net liquidity drain relative to the expected liquidity… (More)
Wikipedia

Related topics

Related topics

6 relations
Extreme value theoryMargin at riskProfit at riskRare events
(More)

Broader (1)

Monte Carlo methods in finance

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2015
2015
Global Liquidity Risk in the Foreign Exchange Market
Using a broad data set of 20 US dollar exchange rates and order ‡ow of institutional investors over 14 years, we construct a… (More)
Is this relevant?
Highly Cited
2009
Highly Cited
2009
Liquidity Hoarding and Interbank Market Spreads: The Role of Counterparty Risk
We study the functioning and possible breakdown of the interbank market due to asymmetric information about counterparty risk. We… (More)
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 5
Is this relevant?
2009
2009
Liquidity Mergers ∗
We model the interplay between corporate liquidity and asset reallocation opportunities. Our model implies that financially… (More)
Is this relevant?
2007
2007
Liquidity Premia and Transaction Costs
Standard literature concludes that transaction costs only have a second-order effect on liquidity premia. We show that this… (More)
  • figure 1
  • figure 2
  • figure 3
  • figure 4
  • figure 5
Is this relevant?
Highly Cited
2007
Highly Cited
2007
An Improved Vehicular Ad Hoc Routing Protocol for City Environments
The fundamental component for the success of VANET (vehicular ad hoc networks) applications is routing since it must efficiently… (More)
  • figure 1
  • figure 3
  • figure 2
  • figure 4
  • table 1
Is this relevant?
2007
2007
Liquidity and Transparency in Bank Risk Management
  • Lev Ratnovski
  • 2007
Liquidity risk is associated with solvency uncertainty at the re…nancing stage. To insure, banks can accumulate liquid assets, or… (More)
  • figure 2
  • figure 3
  • figure 4
  • figure 5
  • figure 6
Is this relevant?
Highly Cited
2005
Highly Cited
2005
Market Transparency , Liquidity Externalities , And Institutional Trading Costs in Corporate Bonds *
We develop a simple model of the effect of transaction reporting on trade execution costs and test it using a sample of… (More)
  • table 1
  • table 2
  • table 2
  • table 3
  • table 3
Is this relevant?
Highly Cited
2002
Highly Cited
2002
Liquidity Shortages and Banking Crises
Banks are known to fail either because they are intrinsically insolvent or because an aggregate shortage of liquidity renders… (More)
Is this relevant?
1999
1999
Dynamic Equilibrium with Liquidity Constraints *
CIRANO is a private non-profit organization incorporated under the Québec Companies Act. Its infrastructure and research… (More)
Is this relevant?
Highly Cited
1998
Highly Cited
1998
Eighths , Sixteenths and Market Depth : Changes in Tick Size and Liquidity Provision on the NYSE
We use limit order data provided by the New York Stock Exchange (NYSE) to investigate the impact of reducing the minimum tick… (More)
  • table I
  • table II
  • table III
  • figure 1
  • figure 2
Is this relevant?