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Communication dans un congrès Année : 2013

MLiq a meta liquidity measure

Résumé

The 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.
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Dates et versions

halshs-00877030, version 1 (25-10-2013)

Identifiants

  • HAL Id : halshs-00877030 , version 1

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Serge Darolles, Jérémy Dudek, Gaëlle Le Fol. MLiq a meta liquidity measure. Forum GI, Mar 2013, Paris, France. ⟨halshs-00877030⟩
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Dernière date de mise à jour le 26/05/2024
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