naa a22 4500 510808395 CHVBK 20180411083429.0 cr unu---uuuuu 180411e20130101xx s 000 0 eng 10.1007/s11579-012-0092-3 doi (NATIONALLICENCE)springer-10.1007/s11579-012-0092-3 Liquidity-adjusted risk measures [Elektronische Daten] [S. Weber, W. Anderson, A.-M. Hamm, T. Knispel, M. Liese, T. Salfeld] Liquidity risk is an important type of risk, especially during times of crises. As observed by Acerbi and Scandolo (Quant Financ 8(7):681-691, 2008), it requires adjustments to classical portfolio valuation and risk measurement. Main drivers are two dimensions of liquidity risk, namely price impact of trades and limited access to financing. The key contribution of the current paper is the construction of a new, cash-invariant liquidity-adjusted risk measure that can naturally be interpreted as a capital requirement. We clarify the difference between our construction and the one of Acerbi and Scandolo (Quant Financ 8(7):681-691, 2008) in the framework of capital requirements using the notion of eligible assets, as introduced by Artzner etal. (Astin Bull 39(1):101-116, 2009). Numerical case studies illustrate how price impact and limited access to financing influence the liquidity-adjusted risk measurements. Springer-Verlag Berlin Heidelberg, 2012 Liquidity nationallicence Supply-demand curves nationallicence Risk measures nationallicence Eligible asset nationallicence Capital requirements nationallicence Weber S. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut Anderson W. Department of Biostatistics, Virginia Commonwealth University, One Capitol Square, Suite 729, 830 East Main Street, 23298-0032, Richmond, VA, USA aut Hamm A.-M Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut Knispel T. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut Liese M. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut Salfeld T. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut Mathematics and Financial Economics Springer-Verlag 7/1(2013-01-01), 69-91 1862-9679 7:1<69 2013 7 11579 https://doi.org/10.1007/s11579-012-0092-3 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11579-012-0092-3 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Weber S. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut NATIONALLICENCE 700 1- Anderson W. Department of Biostatistics, Virginia Commonwealth University, One Capitol Square, Suite 729, 830 East Main Street, 23298-0032, Richmond, VA, USA aut NATIONALLICENCE 700 1- Hamm A.-M Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut NATIONALLICENCE 700 1- Knispel T. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut NATIONALLICENCE 700 1- Liese M. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut NATIONALLICENCE 700 1- Salfeld T. Institut für Mathematische Stochastik, Leibniz Universität Hannover, Welfengarten 1, 30167, Hannover, Germany aut NATIONALLICENCE 773 0- Mathematics and Financial Economics Springer-Verlag 7/1(2013-01-01), 69-91 1862-9679 7:1<69 2013 7 11579 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer