about this bookdeutsch english
The analysis and quantification of market risk has already been considered for years in both scientific discourse and practice. For liquidity risk, however, this has only been increasingly noticeable since the last financial crisis of 2007/2008. This thesis deals with the econometric modeling of market liquidity risks in applied risk management. Following the refinement of regulatory requirements, the concept of liquidityadjusted value-at-risk (VaR) is transferred to models and forecasts of the expected shortfall (ES). The author analyzes the stochastic properties of market liquidity risk in the form of bid-ask spreads and the modeling of potential statistical dependencies between market risk and market liquidity risk. An extensive empirical application using German stocks allows the statistical validation of the models under consideration and shows in which situations an explicit consideration of liquidity risk in VAR and ES forecasts is recommended.
keywordsAngewandte Statistik Backtesting Bid-Ask-Spreads Empirische Wirtschaftsforschung Expected Shortfall Finanzrisikoprognosen Finanzwirtschaft Liquiditätsrisiko Marktrisiko Ökonometrie Risikomanagement Statistik Value at Risk
Ihr Werk im Verlag Dr. Kovač
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