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Liquidity Risk Measurement and Management

Speaker

Yan Liqing, Department of Mathematics, University of Florida

Time

2012.04.06 16:30-17:30

Venue

Middle Meeting Room at Department of Mathematics, Shanghai Jiao Tong University

Abstract

In this paper, we introduce the liquidity risk measures. The coherent risk measure does not include the liquidity effects. When the trading amount is so large that it will affect the market price, the positive homogeneity axiom will no longer hold. We set up a new axiom system for liquidity risk measure.