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Value at Risk with Liquidity Premium
This course presents a VaR based approach for quantifying market liquidity risk with a detailed walkthrough of the accompanying EXCEL example. Market risk measures are calculated for base and stressed scenarios in turn for markets where trading volume is unlimited and where it is constrained. The latter measure produces a metric that is adjusted for market liquidity risk and inclusive of the liquidity premium.
$19.99 In stock
Course Type:EXCEL & PDF download
Files Included:1 PDF & 1 worksheet
No. of pages:14