A study on integrated measurement of incorporating liquidity risk and market risk

MaRDI QIDQ3404773zbMATH OpenFDO

Authors Jinqing Zhang, Xu Li

Publication date 12 February 2010

zbMATH Keywords

copula functionmarket riskliquidity risksemi-parametric methodintegrated risk measurement

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(2)

• Asymmetric liquidity risk premia in intraday high frequency trading
• Investigating the effects of illiquidity on credit risks via new liquidity augmented stochastic volatility jump diffusion model

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