Fiche du document
1 décembre 2012
- handle: 10670/1.2bjnl6
- halshs: halshs-00877026
Mots-clés
Liquidity Liquidity measure Liquidity Risk Management Correlations Regime Switching models. Regime Switching models G - Financial Economics/G.G0 - General/G.G0.G01 - Financial Crises G - Financial Economics/G.G1 - General Financial Markets/G.G1.G15 - International Financial Markets C - Mathematical and Quantitative Methods/C.C0 - General/C.C0.C01 - Econometrics C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space ModelsSujets proches
MeasuresCiter ce document
Serge Darolles et al., « MLiq a meta liquidity measure », HAL-SHS : économie et finance, ID : 10670/1.2bjnl6
Métriques
Partage / Export
Résumé
The last crisis sheds light on the importance to consider liquidity risk in the financial industry. Indeed, liquidity had a predominant role in propagating the turmoil. In contrast, controlling for liquidity is a difficult task. The definition of liquidity links different dimensions that are impossible to fully capture together. As a consequence, there exist a lot of liquidity measures and we find in the literature some solutions to take into account more than one dimension of liquidity but also liquidity measures considering a long lasting liquidity problem. In this paper, we focus on drastic illiquidity events, i.e liquidity problems reported by several liquidity measures simultaneously. We propose a Meta-Measure of liquidity called MLiq and defined as the probability to be in a state of high liquidity risk. We use a multivariate model allowing to measure correlations between liquidity measures jointly with a state-space model that endogenously defines the illiquid periods.