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dc.contributor.authorDarolles, Serge*
dc.contributor.authorDudek, Jérémy*
dc.contributor.authorLe Fol, Gaëlle*
dc.date.accessioned2014-02-24T10:28:39Z
dc.date.available2014-02-24T10:28:39Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12742
dc.language.isoenen
dc.subjectCorrelations
dc.subjectRegime Switching models
dc.subjectLiquidity Risk Management
dc.subjectLiquidity measure
dc.subjectLiquidity
dc.subject.ddc332en
dc.subject.classificationjelG01en
dc.subject.classificationjelG15en
dc.subject.classificationjelC01en
dc.subject.classificationjelC32en
dc.titleMLiq a meta liquidity measure
dc.typeCommunication / Conférence
dc.description.abstractenThe 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.
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleComputational and Financial Econometrics (CFE'12)
dc.relation.confdate2012-12
dc.relation.confcityOviedo
dc.relation.confcountrySPAIN
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.date.updated2017-11-10T15:04:13Z
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