Market Liquidity Risk

1. Front Matter

   Pages i-xiv

   PDF

2. Musings on Liquidity

   • Andria van der Merwe

   Pages 1-17

3. Financial Crises and Liquidity Traffic Jams

   • Andria van der Merwe

   Pages 19-38

4. Market Structures and Institutional Arrangements of Trading

   • Andria van der Merwe

   Pages 39-73

5. Asset Pricing and Market Liquidity

   • Andria van der Merwe

   Pages 75-113

6. Stories of Liquidity and Credit

   • Andria van der Merwe

   Pages 115-142

7. Financial Regulation and Liquidity Risk Management

   • Andria van der Merwe

   Pages 143-162

8. Back Matter

   Pages 163-200

   PDF

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.

• asset pricing
• financial crisis
• funding
• information
• information processing
• interest
• liquidity
• management
• market structure
• pricing
• regulation
• research
• Risk Management
• trading
• traffic
• investments and securities

'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

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.

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