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liquidity-adjusted-value-at-risk

  1. Nicole Seaman

    P2.T8.20.2. Liquidity-adjusted value at risk (LVaR) (Hull Ch.24)

    Learning objective: Explain and calculate liquidity trading risk via cost of liquidation and liquidity-adjusted VaR (LVaR). Questions: 20.2.1. A portfolio holds 100,000 shares of a stock and this single position has a value of $3.0 million. The stock is quoted bid $29.00, offer $31.00. The...
  2. Nicole Seaman

    P2.T8.20.1. Liquidity trading cost (Hull Ch.24)

    Learning objective: Explain and calculate liquidity trading risk via cost of liquidation and liquidity-adjusted VaR (LVaR). Questions: 20.1.1. An asset that is not very liquid is quoted bid $89.00, offer $96.00. Which is nearest to the proportional bid-offer spread? a. 0.0378 b. 0.0757 c...
  3. Nicole Seaman

    P2.T7.707. Leverage, liquidity risk, and liquidity-adjusted value at risk (LVaR)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
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