An examination of liquidity risk and liquidity risk measures

Master Thesis

2010

Permanent link to this Item
http://hdl.handle.net/11427/10113
Files
thesis_sci_2010_bhyat_a.pdf (4.28 MB)
Authors
Bhyat, Aneez
Supervisors
Becker, Ronald
Journal Title
Link to Journal
Journal ISSN
Volume Title
Publisher
Publisher

University of Cape Town

Department
School of Economics
Faculty
Faculty of Commerce
License
Series
Abstract
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.
Description

Includes bibliographical references (leaves 199-205).

Keywords
Financial Mathematics

Reference:

Bhyat, A. 2010. An examination of liquidity risk and liquidity risk measures. University of Cape Town.

Collections
Masters