38:
It may be defined as the net liquidity drain which can occur in the portfolio in a given risk scenario. If the
Liquidity at Risk is greater than the portfolio's current liquidity position then the portfolio may face a liquidity shortfall.
66:
The liquidity shortfall in a stress scenario is thus given by the difference between the
Liquidity-at-Risk associated with the stress scenario and the amount of liquid assets available at the point where the scenario occurs.
104:
Liquidity at Risk is different from other measures of risk based on total loss, such as Value at Risk, as it is based on an estimate of cash losses, or liquidity outflows, as opposed to total loss.
85:(e.g. 95%), which may be defined as the highest Liquidity at Risk that may occur across all scenarios considered under a probabilistic model, with probability higher than the confidence level.
42:
Liquidity at Risk is different from other measures of risk based on total loss, as it is based on an estimate of cash losses, or liquidity outflows, as opposed to total loss.
248:
921:
695:
207:
62:
Liquidity at Risk = Maturing
Liabilities + Net Scheduled Outflows + Net Outflow of Variation Margin + Credit-Contingent Cash Outflows
916:
563:
842:
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911:
241:
528:
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234:
71:
543:
199:
Liquidity at Risk (LaR) und
LiquidityValue at Risk (LVaR): Zwei neue Ansätze für das Liquiditätsmanagement
885:
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745:
513:
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289:
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202:(in German) (Frankfurt School of Finance & Management ed.). Hamburg, Germany: Diplomica.
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74:. It is a conditional measure, which depends on the stress scenario considered.
450:
430:
344:
340:
89:
797:
81:
one may also define a statistical notion of
Liquidity at Risk, at a given
655:
181:
710:
777:
155:"Liquidity at Risk: Joint Stress Testing of Solvency and Liquidity"
58:
is the net liquidity outflow resulting from this stress scenario:
792:
230:
88:
This statistical notion of
Liquidity at Risk is subject to
153:
Cont, Rama; Kotlicki, Artur; Valderrama, Laura (2020).
633:
494:
459:
411:
323:
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242:
8:
70:The concept of Liquidity at Risk is used in
54:of a financial portfolio associated with a
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249:
235:
227:
180:
170:
145:
7:
196:Conzen, Sander (6 September 2009).
35:exposure of a financial portfolio.
14:
100:Relation with other risk measures
524:Conditional Value-at-Risk (CVaR)
922:Monte Carlo methods in finance
843:Strategic financial management
646:Asset and liability management
172:10.1016/j.jbankfin.2020.105871
159:Journal of Banking and Finance
1:
421:Operational risk management
938:
593:Proportional hazards model
544:Interest rate immunization
15:
876:
262:financial risk management
92:as it will depend on the
539:First-hitting-time model
504:Arbitrage pricing theory
94:probability distribution
16:Not to be confused with
917:Financial risk modeling
848:Stress test (financial)
554:Modern portfolio theory
31:) is a measure of the
886:Investment management
788:Investment management
514:Replicating portfolio
290:Sovereign credit risk
912:Mathematical finance
891:Mathematical finance
823:Risk-return spectrum
813:Mathematical finance
768:Fundamental analysis
701:Exchange traded fund
285:Consumer credit risk
881:Financial economics
838:Statistical finance
604:Value-at-Risk (VaR)
509:Black–Scholes model
349:Holding period risk
858:Structured product
853:Structured finance
833:Speculative attack
519:Cash flow matching
482:Non-financial risk
379:Interest rate risk
305:Concentration risk
899:
898:
671:Corporate finance
666:Capital structure
620:Cash flow at risk
616:Liquidity at risk
589:Survival analysis
490:
489:
436:Reputational risk
310:Credit derivative
209:978-3-8366-3500-4
134:Cash flow at risk
52:Liquidity-at-Risk
25:Liquidity-at-Risk
929:
773:Growth investing
691:Enterprise value
641:Asset allocation
624:Earnings at risk
606:and extensions (
549:Market portfolio
413:Operational risk
398:Refinancing risk
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193:
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129:Earnings at risk
96:over scenarios.
83:confidence level
77:By analogy with
937:
936:
932:
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928:
927:
926:
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808:Systematic risk
706:Expected return
686:Economic bubble
681:Diversification
676:Cost of capital
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389:Volatility risk
353:Price area risk
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295:Settlement risk
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56:stress scenario
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634:Basic concepts
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612:Margin at risk
608:Profit at risk
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599:Tracking error
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569:Risk-free rate
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467:Execution risk
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448:
446:Political risk
443:
438:
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428:
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409:
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394:Liquidity risk
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386:
384:Inflation risk
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374:Margining risk
371:
366:
364:Valuation risk
361:
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333:Commodity risk
329:
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315:Securitization
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258:Financial risk
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114:Margin at risk
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72:stress testing
61:
47:
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33:liquidity risk
18:Liquidity risk
13:
10:
9:
6:
4:
3:
2:
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866:
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863:Systemic risk
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625:
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584:Sortino ratio
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477:Systemic risk
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458:
452:
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426:Business risk
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182:11250/2652653
178:
173:
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119:Value at risk
117:
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95:
91:
86:
84:
80:
79:Value-at-Risk
75:
73:
68:
64:
59:
57:
53:
45:
43:
40:
36:
34:
30:
26:
19:
818:Moral hazard
803:Risk of ruin
615:
579:Sharpe ratio
441:Country risk
402:Deposit risk
300:Default risk
213:. Retrieved
198:
191:
162:
158:
148:
103:
87:
76:
69:
65:
60:
51:
49:
41:
37:
28:
24:
22:
868:Toxic asset
828:Speculation
761:social work
746:engineering
574:Risk parity
559:Omega ratio
472:Profit risk
359:Equity risk
337:Volume risk
325:Market risk
277:Credit risk
906:Categories
451:Legal risk
431:Model risk
345:Shape risk
341:Basis risk
269:Categories
215:12 January
140:References
90:model risk
46:Definition
798:Risk pool
711:Financial
721:analysis
656:Bad debt
534:Drawdown
496:Modeling
108:See also
27:(short:
736:betting
726:analyst
716:adviser
369:FX risk
778:Hazard
529:Copula
396:(e.g.
335:(e.g.
206:
783:Hedge
741:crime
731:asset
564:RAROC
460:Other
793:Risk
756:risk
260:and
217:2016
204:ISBN
50:The
23:The
751:law
696:ESG
177:hdl
167:doi
163:118
29:LaR
908::
622:,
618:,
614:,
610:,
400:,
351:,
347:,
343:,
339:,
175:.
165:.
161:.
157:.
626:)
595:)
591:(
404:)
355:)
250:e
243:t
236:v
219:.
185:.
179::
169::
20:.
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