Market Liquidity Risk: 
A Scenario Based Approach

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The Confluence approach for measuring Liquidity Risk

The traditional problem of liquidity risk is that the data needed for calibrating these models is only available for liquid instruments, trading on a regular basis and for which books of bid/ask and volumes are available. For this reason the current approaches to measuring liquidity risk fail providing any indication for the most opaque and illiquid instruments, or where the measurement of liquidity risk is mostly needed.

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