Nematrian Reference Library
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| Reference | Title | Link |
| Malz, A. (2003) | Liquidity Risk: Current Research and Practice | |
Abstract
"This article presents a survey of current thinking and practice regarding liquidity risk. We place the notion of liquidity risk as understood by risk managers in financial institutions in the broader context of liquidity as understood by treasury managers, institutional investors and traders, and central bankers. The article also presents and discusses critically two widespread approaches to measuring liquidity risk for individual securities, and discusses the problems that arise in attempting to quantify liquidity risk for a portfolio." |
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