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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… 
Wikipedia

Related topics

Related topics

6 relations
Extreme value theoryMargin at riskProfit at riskRare events
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Broader (1)

Monte Carlo methods in finance

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
Shorting at close range: A tale of two types
We examine returns, order flow, and market conditions in the minutes before, during, and after NYSE and Nasdaq short sales. We… 
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Highly Cited
2015
Highly Cited
2015
Liquidity hoarding and interbank market rates: The role of counterparty risk
We develop a model of interbank lending and borrowing with counterparty risk. The model has two key ingredients. First, liquidity… 
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Highly Cited
2012
Highly Cited
2012
Currency Returns, Skewness and Crash Risk
I identify a global currency skewness risk factor. Currency portfolios that have higher average excess returns co-vary more… 
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… 
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Highly Cited
2006
Highly Cited
2006
Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds
We develop a simple model of the effect of public transaction reporting on trade execution costs and test it using a sample of… 
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Highly Cited
2004
Highly Cited
2004
LRP/Amyloid β-Peptide Interaction Mediates Differential Brain Efflux of Aβ Isoforms
Abstract LRP (low-density lipoprotein receptor-related protein) is linked to Alzheimer's disease (AD). Here, we report amyloid… 
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Highly Cited
2003
Highly Cited
2003
Liquidity shocks and equilibrium liquidity premia
We study an equilibrium in which agents face surprise liquidity shocks and invest in liquid and illiquid riskless assets. The… 
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Highly Cited
2002
Highly Cited
2002
Liquidity Shortages and Banking Crises
We show in this paper that bank failures can be contagious. Unlike earlier work where contagion stems from depositor panics or ex… 
Review
1997
Review
1997
REDUCTIVE ANALYSIS OF FACTORS LIMITING GROWTH OF CADMIUM-TREATED PLANTS : A REVIEW
A reductive analysis of factors limiting growth of plants subjected to Cd treatment is made in this review. The non-specific… 
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Review
1992
Review
1992
Silicon-based semiconductor heterostructures: column IV bandgap engineering
The use of strained layer epitaxy to grow high-quality Ge/sub x/Si/sub 1-x//Si heterostructures and their application to a wide… 
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