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.
Have you heard about our new Risk Limits Monitoring module within Revolution? It enables users to oversee the risk and exposure of selected portfolios. For those with UCITS funds this will aid compliance with the UCITS IV regulation. Priced on a per portfolio subscription, the Risk Limits Monitoring module, features a traffic light approach used to identify early warnings and breaches.