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ajaybali



帖子数 : 33
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注册日期 : 2011-02-03

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PostSubject: Market liquidity risk   Market liquidity risk I_icon_minitimeSat Feb 05, 2011 5:51 pm

hello everyone
I am student in master degree.In my thesis, i will develop a platform for liquidity risk management that has the ability to measure the risk factors in real time or near real time, these factors are indicated in the formula proposed by Kevin Dowd "An Introduction to Market Risk Measurement"
LVaR = VaR + TC
where Transaction Costs
TC = [1 + PS/MS]λ1 (AL × spread/2) exp(−λ2hp)
My question is about the holding period;the hp is considered basically one day,so is there a problem if I replace the 1 day hp by 1 hour for measuring the LVaR ,noting that over each hour the risk factors are measuring continuously .
any other suggestions I'll be very thankful.





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