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Market Liquidity Risk

Implications for Asset Pricing, Risk Management, and Financial Regulation

Authors: Van der Merwe, Andria

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eBook £55.99
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  • ISBN 978-1-137-38923-7
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Hardcover £69.99
price for United Kingdom (gross)
  • ISBN 978-1-137-39044-8
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About this book

Andria van der Merwe provides a thorough guide to the critical tools needed to navigate liquidity markets and value security pricing in the presence of market frictions and information asymmetries. This is essential reading for anyone with a current or future interest in liquidity models, market structures, and trading mechanisms.

About the authors

Andria van der Merwe is a Senior Economist for Compass Lexecon and an Adjunct Professor at the Illinois Institute of Technology's Stuart School of Business, USA.

Reviews

'Dr. Van Der Merwe's book is an excellent and comprehensive discussion of the nature and drivers of market liquidity risk and its impact on financial asset prices. The book seamlessly integrates theory and references to the academic literature with reviews of empirical evidence and practical applications. Market practitioners should find this book invaluable both as an introduction to the topic and an accessible current review of academic research in this area.' Christopher L. Culp, PhD, Johns Hopkins Institute of Applied Economics and Institut für Finanzmanagement, Universität Bern

'Andria van der Merwe has produced a superb analysis of liquidity. Not only does she explain why 'liquidity' is a much more profound concept than most of us might initially think, but also how our institutions create (and inhibit) it. Bottom line: liquidity is valuable and, as with all items of value, it is costly to obtain.' Jonathan I. Arnold, PhD, Formerly Chief Economist, Office of the New York Attorney General


Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook £55.99
price for United Kingdom (gross)
  • ISBN 978-1-137-38923-7
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover £69.99
price for United Kingdom (gross)
  • ISBN 978-1-137-39044-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.

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Bibliographic Information

Bibliographic Information
Book Title
Market Liquidity Risk
Book Subtitle
Implications for Asset Pricing, Risk Management, and Financial Regulation
Authors
Copyright
2015
Publisher
Palgrave Macmillan US
Copyright Holder
Palgrave Macmillan, a division of Nature America Inc.
eBook ISBN
978-1-137-38923-7
DOI
10.1057/9781137389237
Hardcover ISBN
978-1-137-39044-8
Edition Number
1
Number of Pages
XIV, 200
Topics