When a potential blow-up doesn’t show up, what use are VaR, SA-CCR and stress tests?
Holistic liquidity measures during Covid-19: Supply, demand, and market conditions
In late February and early March 2020, global markets experienced an unprecedented health crisis which increased both economic uncertainty and …
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility …