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Original Articles

Liquidity on the outside from the inside

Pages 1591-1593 | Published online: 30 Mar 2011

References

  • Bangia , A. , Diebold , F. , Schuermann , T. and Stroughair , J. 1999 . Liquidity on the outside . Risk , 12 : 68 – 73 .
  • Berkowitz , J. 2000 . A coherent framework for stress-testing . The Journal of Risk , 2 : 1 – 11 .
  • Bogachev , V. 2007 . Measure Theory , Berlin : Springer-Verlag .
  • Cosandey , D. 2001 . Adjusting value-at-risk for market liquidity . Risk , 14 : 115 – 8 .
  • Jarrow , R. and Subramanian , A. 1997 . Mopping up liquidity . Risk , 10 : 170 – 3 .
  • Lagarias , J. C. , Reeds , J. A. , Wright , M. H. and Wright , P. E. 1998 . Convergence properties of the Nelder-Mead simplex method in low dimensions . SIAM Journal of Optimization , 9 : 112 – 47 .
  • Le Saout , E. 2002 . Incorporating liquidity risk in VaR models, mimeo, Paris I University – CREFIB & CREREG Paris

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