Liquidity risk

2 stories tagged Liquidity risk on Learning Fanatic.

Lesson 11.4: Stress tests, tail risk and liquidity Stress tests, reverse stress tests, fat tails, crisis correlations, liquidity and jump risk: how to measure and limit the losses that value at risk cannot see.
Lesson 9.4: Famous failures: LTCM and the 2007 quant quake Learn what went wrong at LTCM in 1998 and in the August 2007 quant quake: leverage, crowding, liquidity spirals and the lessons for risk.