Browsing by Author "Bhyat, Aneez"

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    An examination of liquidity risk and liquidity risk measures
    (2010) Bhyat, Aneez; Becker, Ronald
    Liquidity risk represents a vacuum of rigour in the otherwise well-researched area of risk management. In both practice and theory most of finance is silent regarding its scope and effect. This is principally due to a lack of consensus regarding its definition and measurement. Current liquidity risk measures differ fairly widely in both respects. This thesis attempts at addressing this by consolidating and examining the principle liquidity risk measures used in financial literature.