Measuring and managing liquidity risk in the Hungarian practice

Szűcs, Balázs Árpád and Váradi, Kata (2015) Measuring and managing liquidity risk in the Hungarian practice. Working Paper. Corvinus University of Budapest Faculty of Economics, Budapest.

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This article was first published in Society and Economy, 2014. vol. 36. no. 4. p. 543-563. DOI: 10.1556/SocEc.36.2014.4.6


The crisis that unfolded in 2007/2008 turned the attention of the financial world toward liquidity, the lack of which caused substantial losses. As a result, the need arose for the traditional financial models to be extended with liquidity. Our goal is to discover how Hungarian market players relate to liquidity. Our results are obtained through a series of semistructured interviews, and are hoped to be a starting point for extending the existing models in an appropriate way. Our main results show that different investor groups can be identified along their approaches to liquidity, and they rarely use sophisticated models to measure and manage liquidity. We conclude that although market players would have access to complex liquidity measurement and management tools, there is a limited need for these, because the currently available models are unable to use complex liquidity information effectively.

Item Type:Monograph (Working Paper)
Series Name:Corvinus Economics Working Papers - CEWP
Series Number / Identification Number:2015/03
Uncontrolled Keywords:market liquidity, portfolio optimization, semi-structured interview
JEL classification:G11 - Portfolio Choice; Investment Decisions
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Divisions:Faculty of Business Administration > Institute of Finance and Accounting > Department of Finance
Funders:Budapest Stock Exchange, MSCI
ID Code:1867
Deposited By: Ádám Hoffmann
Deposited On:13 Mar 2015 08:31
Last Modified:26 Mar 2015 10:54

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